VIX ETF/Futures/Options Discussion Thread
- Thread starter mahras2
- Start date
let's just say i'm sticking to past history. rally is right as this opportunity has not presented itself since long vol in backwardation summer 2011 and contango 2010 gave their respective edges.
OK I was just - and still am - fooling around with VIX options call spreads, mostly shorting em cause of the crazed premium of April, especially, over spot right now. Fell in a few weeks ago to "short" the market, noticed the wild premium, and have stuck around to do this instead.
I've gone through the history and I think this is probably as far above spot as the futures have been on a closing basis with expiry coming up in the range of the mid 30s in terms of days.
Sooo.... since you guys seem to know what you're doing here with VIX, am I being crazed or do you think we're in for some interesting reversion to some reasonable mean? I don't want to put on a significant position until I can at least delude myself into thinking I know what I'm doing. (22.10 on April? With spot at 15.31? Like, WTF? At this point, this is the definition of temptation.)
I've gone through the history and I think this is probably as far above spot as the futures have been on a closing basis with expiry coming up in the range of the mid 30s in terms of days.
Sooo.... since you guys seem to know what you're doing here with VIX, am I being crazed or do you think we're in for some interesting reversion to some reasonable mean? I don't want to put on a significant position until I can at least delude myself into thinking I know what I'm doing. (22.10 on April? With spot at 15.31? Like, WTF? At this point, this is the definition of temptation.)
FYI, I did this but modified it somewhat.
Sold 6 23/28 call spreads on April for the VIX, and bought 2 139/129 put spreads on the SPY. I didn't sell outright 'cuz of the crazed margin I'd have to put up, and I did 23 because it was close to ATM at the time, and I always like to sell/buy at right around ATM if I can manage it these days.
On the SPY it would have been 140/130 or 141/131 if I had realized the SPY wasn't exactly a fraction of the SPX, but I didn't have it on my watchlist when I did this and so mistakenly thought the 139 would be just a wee bit OTM as opposed to being more than a handle OTM at the time of execution.
Oh well, stupid mistakes you make on trying something for the first time.
Credit on the VIX spreads was 108 * 6, debit on the SPY spreads was 189 * 2, so ex commish, max profit is 270 assuming of course the SPY doesn't crater, in which case we start looking at the max profit from the POV of the hedging SPY put spread. Small position, but for now I'm doing this as an experiment. Slight loss on it today of course between swallowing the commish & spread, so the first real day for a test of this is tomorrow.
It'll be fun to watch if nothing else.
Sold 6 23/28 call spreads on April for the VIX, and bought 2 139/129 put spreads on the SPY. I didn't sell outright 'cuz of the crazed margin I'd have to put up, and I did 23 because it was close to ATM at the time, and I always like to sell/buy at right around ATM if I can manage it these days.
On the SPY it would have been 140/130 or 141/131 if I had realized the SPY wasn't exactly a fraction of the SPX, but I didn't have it on my watchlist when I did this and so mistakenly thought the 139 would be just a wee bit OTM as opposed to being more than a handle OTM at the time of execution.
Oh well, stupid mistakes you make on trying something for the first time.
Credit on the VIX spreads was 108 * 6, debit on the SPY spreads was 189 * 2, so ex commish, max profit is 270 assuming of course the SPY doesn't crater, in which case we start looking at the max profit from the POV of the hedging SPY put spread. Small position, but for now I'm doing this as an experiment. Slight loss on it today of course between swallowing the commish & spread, so the first real day for a test of this is tomorrow.
It'll be fun to watch if nothing else.