VIX trade for 8/18 exp

Discussion in 'Options' started by atticus, Aug 10, 2011.

  1. atticus, i thought you were pretty big on risk/reward ratios. that's risking 2 for 0.5 gain. Win probability is high but we could have a gap up in this crazy market monday and hit it.

    Havent done any vix so maybe there is something fundamental i am missing, can you explain a bit more why this is a decent trade? what's SOQ?
     
    #21     Aug 13, 2011
  2. Agree with newguy. John if you expect the market not to recover in the coming week maybe look into a decent spread on the SPY itself. For me at least, Though I hate to play against time the VIX is all about trying to score big $$$. Holding 47.5 aug call and 35 sep call, wrote a 45 sep call.
     
    #22     Aug 13, 2011
  3. I didn't trade it. Mkt ended well but the VIX is unlikely to drop a bigger figure than it did late in the week. Two days to expiration and >6 handles otm. SOQ is the expiration mark at the open.
     
    #23     Aug 13, 2011
  4. sle

    sle

    Out of curiosity, do you hold delta in S&P futures against your VIX spread/fly positions to immunize it against skew and makie it a pure term structure play?
     
    #24     Aug 13, 2011
  5. I typically ratio the switches, but do not normally hedge the option flies, only the unimodal or singles. I will hedge single options or single VIX futures in ES futures or the risk-reversal (preferred).

    I typically spread net long VIX futures deltas in ~25D short SPX/ES/SPY puts.

    No hedge on the current condor.
     
    #25     Aug 13, 2011
  6. I assume you bought the 47 and sold the 45 as the VIX dropped. John's not losing on edge as it's not poorly legged.
     
    #26     Aug 13, 2011
  7. I have no problem with a 4:1 risk if I perceive the expectancy to be there. It's a 4:1 wager on SOQ >30, which I believe to be a good bet.
     
    #27     Aug 13, 2011
  8. Did you?.
     
    #28     Aug 14, 2011
  9. imo, to touch 30 spot by tuesday close, you gotta rallymode really straight up and not swing with any down moves.

    look at playing september this week if you see spot >32 holding. it can be as good or better than the last august play...
     
    #29     Aug 14, 2011
  10. Yeah, I can't imagine we close under it by SOQ, but in five days...?
     
    #30     Aug 14, 2011