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Crash of the market and VIX spike, or crash of the VIX/VX down to 10s? Not sure I'm following, as I've said - we must be talking about different things. A VIX 12P simly can't be worth more, than $2.00 at the settlement - which would imply settlement at 10.00.

I'm not really sure what type of conditions and VIX Put prices do you imply, that you would need to 'survive'. The highest price of 13P over the past year ~ 1.9; achieved on the settlement day. One way or another, /VX has a floor and holding to expiration is just a bet on the settlement price...

Quick update - interesting vol observations. At roughly ~30 trading days until expiration, /VX May appears to be extremely cheap (13.48 at the moment). The 5th percentile at this DTE is 14.6. I've looked at the distribution of /VX prices at this DTE and it looks quite interesting: Current...

Thanks for the replies. They've basically said that this deal couldn't be pre-arranged, and I should contact them again, after I establish the account/operations. I suppose it shouldn't be a problem, unless there is some 'regulation' which prohibits them from doing so...as they offer a CFD w/...

Hi everyone, I have a quick question in regards to IB - is there a possibility to negotiate a "custom" margin requirement for a specific asset (also, non-US customer)? It currently has 20% requirement for an instrument that I am interested in. I was wondering, if they ever lower MR on a case...

With focus on /VX, there could be better options, than continuous re-balancing of M1/M2 spread... Overall, I think that it's a common theme with these products: people see the effect (long ETP decreases', inverse increases') - while they don't understand the cause. This understanding is crucial...

I think that your best bet is CFD on VXX; 10% initial margin requirement with daily posting of collateral. Sometimes VXX makes more sense, as the price mechanics are quite different over certain time-frames/scenarios/re-balancing...

Honestly, I have simply viewed selling ITM puts as betting on slightly higher vol/settlements >13, without paying anything for it. With this type of "ambiguous view", selling May 12P for 0.35 makes a little more sense, than buying 15-17 for 1.7/1.3. Just probabilities IMO. Therefore, the...

I agree on decay and that it's mostly a "hold until the expiration". I also think that they are priced like this for a reason...The so-called "floor price" is a big factor, which made this look appealing to me. In terms of the "floor", yes, there is plenty of data up to pre-GFC period. However...

Thanks for this information, I was actually looking at doing some fixed-income with lever....

The "roll down" and "will kill"? Not sure what you mean - any sold put that "covers" losses up to 11.5 or so...the maximum loss would be capped at 11.03 (lowest settlement)... So, let's say we have 12P at 0.50; your max gain is capped at $50 per contract - max loss is capped at $50 per...

What if we take the assumption of holding until the expiry? Not quite 'technical' IMO...I've pulled some /VX data recently; /VX price vs. Trading Days until the Expiry... The numbers are quite interesting, especially for extreme readings for 120 Trading-DTE...from both sides: long and short...

Price of the put option is the main variable. What makes it expensive? I suppose the overall level of the term structure. Spot VIX or M1 is meaningless; when the further months fall significantly - that's when vol is truly cheap... M3 dips to 14 with 63 DTE here in Feb...that was...

Hi everyone, I was wondering, if anyone has utilized this strategy, either naked or as a spread...I was searching for information, but did not find anything specific yet... It seems that selling to have a decent return/risk profile, especially when /VX is cheap and has plenty of DTE... As...

Here is a spreadsheet, which you can use for any stock/index...

I think I've said "...the dates are obviously wrong...". I have simulated data for VXX/UVXY/XIV since 2004, if you are interested.

I guess you can also relate this to the shape of the curve...yeah, vixcentral is vital for doing anything with /VX and its ETPs..

The dates are obviously wrong, but yeah...simulated based on /VX values at that time...which would be quite different these days, given the size of short vol complex and de-leveraging which would occur... It's impossible to time the exact bottom - I would rather look at the duration/severity...

Hi everyone, my question is related to SVXY - I'm well aware of its mechanics, but I was looking at specific scenario... Let's suppose we see something of a -80% or -85% drawdown in SVXY in the future (simulated 2008 had a -90% DD). 1) Are there any risks in establishing a long stock...