volatility switches

That's what it says on that site: expiration 16 June at 21.67, 21 July at 24.39.

 

Perhaps that is some dissected cash calc per duration. If so, cool.

Edit: Yeah, it would have to be tied to opex.






I just bought the VIX 16/23/30 June op fly for 3.15 risk (iron, short g).

 

Long 1 Jun outright (25.72) and long 4 of the Jun 24 synthetics from 1.75 to hedge the fly. Small hedge.