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I wonder if the better play for the OP is to put the $900,000 in long stocks when the VIX is low/stable/whatever:) and simply put the $100,000 in loooong-term VIX calls as a hedge :).

The fact that you question why the word premium is used when you mention the VX futures means there is still a lot of work to be done. First, when are you going to be so good at calling the VX bottom based on VIX? To prove to you how you can lose money being long vols in a contango...

The spike in vols has pushed my FLYS and Calendars into the red so I have no choice but to just sit on them and wait for the vols to bleed out :(. I also had a model for VXX scalps overnight but these spike outside the normal range has made it not work as well as when we have rangebound vols...

Yes find it easier to play the front month with VIX options rather than VX to control the risk. But the catch 22 is VIX options are inflated at the moment. I am waiitng until Monday for next move since Friday will be too cautious in my opinion.

The -SEP/+OCT/-NOV VX Fly looks interesting at around 1.50 credit... Will have to study if I want to overlap this with my NOV/DEC/JAN position but then I will have -SEP/+OCT/-NOVx2/+DEC/-JAN. Might be interesting though since lack of any swan event should have SEP and NOV come down to earth a...

My problem is the NOV portion of the FLY has lifted with SEP/OCT so I have to sit on it for some time now. I agree the curve has flatten at parts making the longer term FLYs premature but the risk still in the front two months has made me wary of any outright calendars. I need VIX to break 20...

I think the short VX futures ETN can work now but you might have to hold for a while until you see the returns since a sharp sell off like we had in the markets gets a bounce and then it keeps the violent nature until the market short term memory wears off. I took a similar position by buying...

Big swing up in the front months but the back months have stayed relatively flat rising in unison. Some possible plays on the -DEC/+JAN or DEC/JAN/FEB short FLY but still too early to touch that IMHO. Question is whether VIX will start to come down if the fear/uncertainty subsides in the next...

Sorry, I wrote it backwards, you are correct. My point was that as it re balances into October by SELLING SEP and BUYING OCT with the current curve shape and THEN if the curve flattens in the front or gets back to contango then the higher bought futures will bring the value down as hopefully...

VXX Short signal here so taking it after all the volatility: LONG xx AUG 28th VXX $24.50 Puts @ $1.55 VXX @ $24.12

VXX has certainly jumped on the vol spike as expected. However, with the steepness in the curve hopefully levelling off in the coming months and hopefully going back to normal contango where VXX bleeds asset value on the rebalancing, went with a long-term play on return to VXX lows by January...

SEP/NOV Calendar has gone backwards. I usually am very quick to cut losses being kind of hesitant to let positions run but going to let this position hold to see what happens today. NOV/DEC/JAN Fly still holding on. The conversion from contango to backwardation is always maximum pain at first...

ToS platform really exaggerates the curve I think haha. Another snapshot shows a little flatter but still curving in front month.

Agreed. I also tend to feel that we will have some more vol (VIX) spiking but the futures will stay at a somewhat discount to VIX. My only fear is VIX keeps running and the VX rides higher based on expectation that OCT/NOV will be worse. Not my current viewpoint though. But in general my...

TRADE- At the close entered a calendar with SEP/OCT but replicated using the VIX options instead to reduce the risk significantly in most situations: LONG SEP 30 VIX Puts @ 11.90 (equivalent of Short Sep VX @ 18.10) LONG OCT 14 VIX Calls @ 4.90 (equivalent of Long Oct VX @ 18.90) Same as VX...

The VIX is at 28 though based on the SPX options with VX at 19.90 front month, quite a discount. I wonder if the large funds rushing to hedge their portfolios have pushed IVs up at an extreme level but VX traders still keeping it somewhat tempered. The IV of SPX options viz a viz VX is the...

SPX options should stay bid up with the panic now setting in so VIX will stay up here unless we get some reprieve. The real question is how far Sep VX will go meet VIX at these levels or will stay at a discount expecting a vol pullback. I am looking at some spreads using VIX options with lower...

Getting fugly today. Backwardation on its way... Loaded with my VIX Calendar and VX FLY so no new positions so far. Will have to see how we close since I am sure index will sell off hard into close to not have any long positions over the weekend. China and Econimic news will keep vols...

Nothing better than seeing the long front month pop while the back stays flat on a calendar like that :). I might look for the reverse of that trade towards the close...

Despite the pop in VIX, the VX did not pop as far despite SEP lifting the curve up. Decided to take this off quickly for a "scalp" Closed at $0.30 for $0.05 Profit. SEP VX @ 17.91 but spread barely budged. I attribute some of that to time value in the options and vols but also VX is not...