Investor Makes Mammoth VIX Bet That Could Pay Out $265 Million

[Quiet1]

Vix futures multiplier is 1000. Vix options multiplier is 100.

 

[Martinghoul]

Vix futures multiplier is 1000. Vix options multiplier is 100.

So I'd need to divide the contract delta by 10, right?

 

[sle]

So I'd need to divide the contract delta by 10, right?

His max delta would be just over 50k short futures contracts if he's delta-one on the high strike calls. Of course, by that time he'd get fired and the whole shenanigan would be unwound at fire-sale prices (pun intended).

 

[Quiet1]

He's long 262k calls strike 15. So my estimate of about 25k futs is about right.

 

[Martinghoul]

His max delta would be just over 50k short futures contracts if he's delta-one on the high strike calls. Of course, by that time he'd get fired and the whole shenanigan would be unwound at fire-sale prices (pun intended).

Yes, my contract delta numbers were off by a factor of 10...

 

[sle]

He's long 262k calls strike 15. So my estimate of about 25k futs is about right.

For his max delta? He's got a 1x2 on, so... you know, the 2x leg...

 

[Quiet1]

Right, making him net short 262k calls, requiring ~25k futs to hedge when VIX much higher.

 

[sle]

Right, making him net short 262k calls, requiring ~25k futs to hedge when VIX much higher.

sorry, my statement was to Marty, not you (posting from a small phone is challenging)

The best trade to do on the follow is to sell 12p against delta, IMHO

 

[sle]

Right, making him net short 262k calls, requiring ~25k futs to hedge when VIX much higher.

Of course, since it's a risk reversal, what he holds at expiration is less then his maximum delta pivot. A totally realistic scenario is where he's got delta one(ish) against his 15s and VIX quickly rallies above the 25 strike

 

[njrookie1]

maybe he is justing waiting a few days to cap the upside exposure, say by buying the 40 wing