I couldn't locate the old VIX thread, so I suppose a new one wouldn't hurt. I'll be trading VIX futures switches (1:1 calendars) and flies. Also will include some options on spot (marked to futures). Long the VIX jun/jul switch from $1.45 at the close.
just want to make sure my naming convention is right- when you say long, you're basing it off of the further out contract? i.e. long jun/jul means selling jun and buying july? interestingly enough, i was debating taking the opposite side of that *edit, i say debating only because at the moment i have no basis to trade, so i'm not trading, but if i was i would want to be leaning long on vol.
i'm seeing it go at 1.5, so if i actually did want to take my position i would go somewhere else besides you ;D. if you don't mind prodding; why are you taking that side of the trade? the 20pt es rally into close? -oh, and whats your horizon look like?
Good trade. Was looking at also shorting SPX 1350 JUN straddle but think I would get more bang for the buck going Long Jun/Jul. The switch was approx. 0 at last Fridays's close, very tempting but I couldn't justify taking headline risk.
That's the good news, you can lose less at 1.50. I will take off a portion within one week, but plan on holding the minority position to JunEx.
If one sells the Jun SPX ATM straddle and buys the July ATM straddle, how well will this replicate a Jun/July VIX futures switch?
It won't. You're simply long 2x an ATM call or put calendar. You're short gamma and long vol. This is short vol.