VIX fly (switch)

Discussion in 'Options' started by atticus, Aug 3, 2011.

  1. B2 Dec, S1 Oct, S1 Jan; 1.10 to the sell (current mark). Will hit parity in 2 weeks. Not an options trade but lacking a vol-forum.
     
  2. sle

    sle

    rolldown looks good, i agree
    the fly itself does look dislocated
    my concern would be the delta aspect of it - the fly is well corred w spot
     
  3. Yeah. I am also long oct/dec small from 0.10 in another account.
     
  4. sounds ok, just watch for curve flip as imo oct short and jan short will outpace dec long by a long shot in a vol rise. still a very directional trade. also long a oct dec trade "elsewhere" is already .10 under , so be careful. you are short oct in 2 different trade set ups.
     
  5. It's a fly!
     
  6. oct dec touches -.50....today...of course i went long too now (@ -.35,-.40), lol..gl to us!!!
     
  7. I was down 15-20 cents on it today, not terrible considering we were -40 on ES.
     
  8. Great speculative play!!! I saw this and put the same fly on using NOV instead of OCT. I only did it 15 by 30 by 15 or so. Liquidity is poor in those back month futures, a large position can easily get too cumbersome to trade out of.

    I also traded 22k vix contracts today...this little future fly won't even make a dent in my option portfolio's p/l, more of a test trade with real money.
     
  9. :D
     
  10. very funny. i did warn; but still heavily short vol. tough day; similar to flash crash.
     
    #10     Aug 4, 2011