I guess when you are short vx in contango, I'm guessing you're hedging with short ES. Is the ES the wings? I'm doing something similar with vix and spy options
Not done yet. I am adding short futures to neutralize but it's blowing up (in a good way). The bear tail was at x but you can see the impact of the ES futures here (convex bear tail). It's still accumulating a stupid amount of delts.
