Recent content by volatility

The problem whith the strategy and he talks a bit about it at the end. is that the hedger always has to by the options of the front month ( the one with the highest theta or time decay)to have a good corraltion with the VIX. If the spx doesnt go down (fast) for a while, the hedger will have to...

how much did you pay for the bull spread? Implied Vols on VIX options have melted in a week.

so..... is it program trading the other way today or what? we saw an inverted 2-day h&s on sp500 today break its neckline. where are we going from here? we see another inverted h&s on a 2 month graph with a neck around 1470-1480 with potential if it breaks it.. back to record levels around...

funny how Minutes from August 7th, time at which the Fed still believed it would not need to act, affect the market. When the Fed did react 10 days later (lowering the discount rate by 50bps). Lots of datas have been computed by the Fed since August 7th... thus the action on August 17th...

no I played it safe, stayed on the sidelines, just entered in a small position by selling sept 20/27.5 strangle at 5.1, now trading at 3.15. But a very small position. I was wondering if others took advantage at a bigger scale.

Did anyone make money with the VIX reverting towards its mean?

The future expiring on the same date as the option is a very close proxy of the forward. Best way to verify it is to take an option which is largely in the money (i.e. which has no more time value), for example a call 10, and you ll see that its value is equal to the future s value expiring on...

This Thread is for anyone who wants to shares ideas, results, models, strategies ( real or theoritical) on Vix options. I know this product is becoming more and more popular. Tks for your participation.

I gave 35 as a recent example. Same logic applies the other way around. Let suppose we have a floor at 10 and we can trade "spot" VIX options. in such a case, just sell long term 10 puts and wait for the VIX to gap up.... well some people did it also with "forward" VIX options and it work for a...

I guess the launched options on the forward VIX instead of the spot VIX because VIX is mean reverting. Imagine options on the spot VIX with a VIX at 35 (like thurday...), what would everyone do... buy long term puts or sell long term calls, knowing that eventually the VIX will trade lower than...

as for greeks applying to vix options... they do, as long as you use the right model (not B&S, not black or any traditional models...), some research is becoming available on the net. But from it you"ll need to be able to program the model, calibrate the model and then be able to generate...

I have been trading the Vix futures then options for 3 years. made 10 fold the initial investment. The market is changing, some strategies working with a vix at 10 or 12 dont hold anymore. But one thing has to be kept in mind : vix is mean reverting. From that many stratgies can be drawn even in...

how about buy a put 20 sept and sell a put 20 november, a lot less risky if the VIX spikes, with the same profit profile if the term structure comes back to flat or upward.

well, what seems interesting with the VIX options is the fact that VIX is mean reverting (tends to move back toward its historical average in due time). That's the reason why the short term futures have a higher value than the long-term one (inverted vix term structure). But this should not last...