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Directional bet on volatility, not on the SPX...


Quote from rallymode:

I agree, especially if you have access to ES options. Why people use the vix options for directional bets escapes me.
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Quote from optioncoach:

Directional bet on volatility, not on the SPX...
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I know but since vix call premium increases cannot catch up to put premium increases during a selloff, i fail to see the benefit of using vix options vs a straight up put in a directional trade unless you expect the vix to keep rising in the short term while the market is rallying.

coach, what's your reasoning?
 
I expected vols to actually increase over the next 2 months, hence the ITM AUG calls. I bought them at $1.65 and they are around $2.20. I do not understand the comparisons between a vix directional bet and a long put? One has nothing to do with the other really since I am not predicting a market crash, just a ratcheting up of vols over the next 2 months. VIx increasing is not necessarily a directional play as the market can churn over the next 2 months and VIX move over 20%.

Quote from rallymode:

I know but since vix call premium increases cannot catch up to put premium increases during a selloff, i fail to see the benefit of using vix options vs a straight up put in a directional trade.

coach, what's your reasoning?
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Quote from optioncoach:

I expected vols to actually increase over the next 2 months, hence the ITM AUG calls. I bought them at $1.65 and they are around $2.20. I do not understand the comparisons between a vix directional bet and a long put? One has nothing to do with the other really since I am not predicting a market crash, just a ratcheting up of vols over the next 2 months. VIx increasing is not necessarily a directional play as the market can churn over the next 2 months and VIX move over 20%.
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I see your point now, i edited my post as you replied. Interesting trade.
 
I think it will plateau after the end of JUne Fed meeting so if we could goose the premiums a little more I will be quite happy. I am looking to get a steal for JULY put spreads with IVs this high. The skew has 100 points OTM at huge premiums, even 140 points or so. Looking forward to JULY positions :).

Quote from rallymode:

I see your point now, i edited my post as you replied. Interesting trade.
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Quote from optioncoach:

I think it will plateau after the end of JUne Fed meeting so if we could goose the premiums a little more I will be quite happy. I am looking to get a steal for JULY put spreads with IVs this high. The skew has 100 points OTM at huge premiums, even 140 points or so. Looking forward to JULY positions :).
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I have avoided the vix options but it seems during the recent selloff, liquidity has improved significantly. So you expect the vix to move upward of 20 over the next month? Pretty bold bet if we don't continue to sell off.
 
Not too bold of a bet really since the calls are ITM. With another FED meeting and mixed news coming in on the economic front I think the next 2 Fed meetins will cause wild price swings. It is possible that our IV paradigm has shifted from the 11 - 14 range to the 15 - 18 range for now.

Quote from rallymode:

I have avoided the vix options but it seems during the recent selloff, liquidity has improved significantly. So you expect the vix to move upward of 20 over the next month? Pretty bold bet if we don't continue to sell off.
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Quote from segv:

How is it going arb? It is too quiet in this thread.

-segv
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I have a DAX double barrier, but haven't posted it here... waiting on the dealer. Nikkei position looking good. It's difficult to get a decent market on the gamma-trades, <14d. I will be trading 3-8w expirations from this point to improve on the edge loss.

I've been busy the last few days with wife's first 2d ultrasound; we're having a girl in October. I'll be able to post with greater frequency.
 
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