well, personally, i wouldnt run this fly here without the long front vol position so in that sense you can call it a hedge (and from my empiric view it does work as one), but i would run the long front vol position without the fly. i also didnt necessarily enter one BECAUSE of the other either. i had been long front vol then saw a chance to enter favorably into the fly, so i did. hope that will suffice
yeah - thats what i get for being a cheapo not paying up 5bps. i don't trade the ETPs for 2 reasons. 1) i dont have the same flexability with my employer 2) i don't see how they are the same, the etp's are there to mimic indicies or performance of something, i'd rather just express my view in a more pure manner
i'm still alive - here in nyc and at work now.. nothing has changed in my position. if anyone is watching.. how are you all doing? did you fare well?
somewhat active day today. i closed the long leg of the fly (jan/feb) at 0.65 i'm looking to exit the other leg as well some time today. the trade is currently 0.10 vol against me. i lifted 18.00 in nov
closed the other leg of the fly - total loss is .15 vol on the fly. sellinindex - maybe you're right and i had agreed, but i just am not feelin this trade here.
i am going to track my pnl on here in vol terms. my first trade was profit of 1.15 vol the fly had a loss of 0.15 vol, but the notional of the fly was 10x that of the nov. so net: +1.15 vol -1.50 vol = -0.45 vol pnl