I gave 35 as a recent example. Same logic applies the other way around. Let suppose we have a floor at 10 and we can trade "spot" VIX options. in such a case, just sell long term 10 puts and wait for the VIX to gap up.... well some people did it also with "forward" VIX options and it work for a while.... because the VIX term structure was quite flat except for the front month...
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VIX and the Greeks
- Thread starter metaphysician
- Start date
Quote from metaphysician:
So Rally, Cache, the post I was asking about made two claims:
1. The Greeks don't apply to VIX options in a normal fashion.
2. Retail people probably shouldn't be trading VIX options.
Now, amidst all the blogger-bashing and chest-pounding about how experienced and smart you are, here's what I hear you saying:
1. The Greeks don't apply to VIX options in a normal fashion.
2. Retail people probably shouldn't be trading VIX options. (b/c there's no retail software that accurately models them, among other reasons)
So if you agree with the points I was asking about, why bother being so sniping and arrogant? I just don't get the dynamics of this forum sometimes, it's like a bunch of grown adults acting like small children.
Wasn't trying to act like a child, just made accurate observations and statements.
Your blogger doesn't understand VIX options but assumes an advisory role anyway. In my book, that is arrogance. The two VIX strategies I offered up, were in fact the easiest money over the past couple years. There is no chest pounding, it is just fact. Every so often the conditions are simply perfect for a given strategy, and this was one of those times. If I had said that I consistently returned 50%/monthly from those strategies, I would consider that chest pounding.
Next, your original post seemed to ask what everyone thought of the blogger's comments. I answered your question honestly, and you requested an explanation as to how I did what I claimed. I was then kind enough to offer a detailed explanation. I could've told you to figure it out on your own, the way the rest of us have.
To then call rallymode and me out like you did, was in my opinion very inappropriate. I'm wondering about your motives for doing so. It seems that you either know the blogger well or you are in fact the blogger.
Sure we agree that traditional greeks don't apply to VIX options. That is fact, and not difficult to figure out.
Should people trade them without learning about them first. No! Neither should they trade options without learning how. Or stocks, or futures, or currencies, etc...
Those two statements didn't warrant responsive comments. His other ignorant, opinionated suppositions did. But next time I'll be a little more reserved in answering any of your questions. Happy trading.
Did anyone make money with the VIX reverting towards its mean?
no I played it safe, stayed on the sidelines, just entered in a small position by selling sept 20/27.5 strangle at 5.1, now trading at 3.15. But a very small position. I was wondering if others took advantage at a bigger scale.
I bought a 20/22.5 bull call spread when it dropped to 20 recently. I think we're going to see the VIX trading between 20 and 30 for quite a while.Quote from volatility:
no I played it safe, stayed on the sidelines, just entered in a small position by selling sept 20/27.5 strangle at 5.1, now trading at 3.15. But a very small position. I was wondering if others took advantage at a bigger scale.
how much did you pay for the bull spread? Implied Vols on VIX options have melted in a week.
Called what? This looks like a sales pitch to me.
The problem whith the strategy and he talks a bit about it at the end. is that the hedger always has to by the options of the front month ( the one with the highest theta or time decay)to have a good corraltion with the VIX. If the spx doesnt go down (fast) for a while, the hedger will have to buy a new set of call options witha new front month. as time passes by and if the spx doesnt move. the hedge wil become costlier and costlier. Mind you with spx puts it is the same.