volatility switches

Discussion in 'Index Futures' started by atticus, May 23, 2012.

  1. 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.
     
  2. Jgills

    Jgills

    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.
     
  3. Following
     
  4. Go ahead, throw your money away! We can work a few at 1.43 if you like. Yes, long deferred.
     
  5. Jgills

    Jgills

    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?
     
  6. jj90

    jj90

    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.
     
  7. 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.
     
  8. I am looking for 1.75 tomorrow at which point I will reduce by half.
     
  9. 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?
     
  10. 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.
     
    #10     May 23, 2012