that feb/mar/apr fly really was a good one, too bad i didn't hold it much longer. missed 30 extra bp of pnl. still learning some stuff as i go. how did you express your short mar view?
Yeh, fly is around 28 now (vxx down another couple of dollars). However I am not sure there is a way you can know in "advance" how far a trade would go. The debt ceiling issue developments seems to have been a big factor.
mac, you can never know in advance on any type of trading...but i do not believe the debt ceiling played as big a role in the particular trade as you suggest.
You might be right, was just guessing. When the fly was 75-85 that was the rational that was given by some people.
Ive been trying to figure out how to position in the current curve Im young and dont have enough first hand experience to have witnessed previous times like this in volatilty. Excuse my naive perspective, but it seems like being short the middle to back calendar spreads has little downside as the curve seems to be flattening with no end in sight. Also, looking historically the curve traded flat at 12-15 vols in 2006&2007. Can someone help me to better grasp this current environment? What downside does short vix calendar spreads in the mid of the curve have here? If we crash it will invert and levels r so low it seems it has no where to go but lower and flatter. I am very skeptic of my point of view and would appreciate any commentary. Thanks in advance.
Actually, it's quote possible for the curve[60-90 days out] to steepen into a selloff[mild]. It's somewhat counter intuitive but it certainly flattened into this rally as the back end imploded. If you expect a crash there are much better ways to position yourself without exposing yourself to a curve steepening. Trading in the VIX futures in '06-'07 was by appointment only so you can't really compare since the micro structure has completely changed.