Pure IV Play

Deuteronomy_24_7 said:
Who said anything about forward-starting? For that matter, where/how do you suggest a retail investor trade them?
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he asked for pure volatility (ie no gamma). Sle is right. a parrellel shift on the surface will cause the forward var to profit/lose.

I think sle assumed the OP was the director of a Hamilton based firm like yourself who happens to trade VRX options everyday.
 
sle said:
Forward on a statistically mean-reverting product would usually include some term premium that biases it towards the historical mean. E.g when oil is cheap, it's in contango and when it's rich it's backwardated. The VIX futures are not any different and since they are consistent with the implied vol surface, your decay per unit of risk will be similar no matter what product or combination you trade.
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well put.. i agree with this guy
 
Why dont you use old school calendar spread?
while trading VIX futures it might be hard to "roll-over" and increase in size (in order to gain what have been lost), trading calendars on SPY or IWM slightly out of the money seems right (price falls, you gain vega + abit of delta- theta positive).
Most important, you can roll and increase size more easily (much more).
 
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