Something has got to give here, the fornt month Vix futures is still at 19.75 wth the spot at 17.72. ^ days to Vix expiry... something has got to give and fast. I have been selling the 18p's for some nice coin... but expiration is getting too close here. I may have to put an end to that.
Current VIX level
- Thread starter NHS
- Start date
what is the current Vix level? is it at 0 or -1
What's the best way to bet on a rising VIX down the road?
One way to bet on a rising VIX is calendar spreads. If you go out several months, they are quite sensitive to volatility but not so sensitive to changes in the underlying. At times like this (and I mean not just now but really the whole last year) when volatility is sinking and may continue to sink, I keep a few around as "volatility hedges."
Maybe there are some fancy ways to try to actually make some good money off them. I don't know but would be interested in people's ideas here. I'm not terribly adept with calendars.
Maybe there are some fancy ways to try to actually make some good money off them. I don't know but would be interested in people's ideas here. I'm not terribly adept with calendars.
Does VIX have call/put options you can buy?
Using calendar spreads to hedge the portfolio against raises in IV â interesting. Calendar spreads, as a position, gains when the IV raises and all other variables are equal, given that the long leg has a much higher Vega than the short leg. If you buy the long leg very far out (6-9 month) and the short leg near (1-3 month) you could also end up with a position negative delta, positive theta and gamma near zero. If IV should jump up, I could expect the stock price to drop also â this would also gain here (for some time). If nothing happens you still have the theta generating income.
What you also could be looking for, with a calendar spread, is to get out of the short leg as fast as possible â you can do that by buying back the short when and if the price goes down, if the stock price goes down, a parallel jump in IV will hurt this part â but then you can always close the entire position if IV jumps up and the stock price goes down.
What you do not want is the IV to fall.
I guess ideally you want a short term drop in the stock price to hurt the short leg, buy back the short leg and then see a big raise in IV, stock price and then take profit on the long leg at some point or write a new short leg.