seeking help to resolve the following
for example, using ITM VIX puts to short VIX futures
pros
1) limited downside on the way up
2) if VIX spikes, some protection from vega pnl
cons
1) large bid ask spread
2) loss from vega pnl, gain from delta if delta view is correct
can offset the premium by selling further itm puts. on flip side, more legs => more commissions and spreads.
Am i missing something? how do i really decide which makes more sense? strikes and sizing based on depth?
many thanks in advance,
lcs
for example, using ITM VIX puts to short VIX futures
pros
1) limited downside on the way up
2) if VIX spikes, some protection from vega pnl
cons
1) large bid ask spread
2) loss from vega pnl, gain from delta if delta view is correct
can offset the premium by selling further itm puts. on flip side, more legs => more commissions and spreads.
Am i missing something? how do i really decide which makes more sense? strikes and sizing based on depth?
many thanks in advance,
lcs