It was mentioned on the ETF forum to sell puts on individual stocks and for protection against a general market decline to buy index puts or VIX calls (or a VIX bull spread). I am familiar with how to determine how many index puts to buy, but how would you calculate how many VIX call contracts to buy? TIA.
1) It's a form of short dispersion. You start with a correlation fig. You can go quick and dirty and simply use a vol-weighted beta and stick to ATMs. TOS has the functionality built-in to their platform, but I haven't used their implementation. You're trading variance when you're in VIX options (unless trading delta-one synthetics), so it's best-practice to avoid outright variance exposure and stick to a dispersion model; long downside index puts/spreads and short share-puts. Lean short delta (5-10 at inception). 2) You can get silly and sell share-puts/sell index calls. You're underwater on smile (otm index skew) by selling otm index calls, and receive no vol-edge in the shares... but the vol edge is no worse than the long/short. Stick to ATMs. I would lean long delta (5-10). I am working on a manufacturing startup (bastions) and trading opm so I won't be around much. PM me if you need some pointers.
Thanks for the generous offer of PMing you. I'll have to decide if I want to embarrass myself by asking dumb questions.