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VIX fly / spread journal
- Thread starter Jgills
- Start date
I am experimenting the following. Shorted feb/mar for 1.57, bought mar/apr for .72 (.85 fly). In addition I have shorted 100 vxx for each fly for protection against the fly expanding further. One problem I have with this trade is that everyone here seems to agree that feb/mar is a good short.
Quote from macintash:
I am experimenting the following. Shorted feb/mar for 1.57, bought mar/apr for .72 (.85 fly). In addition I have shorted 100 vxx for each fly for protection against the fly expanding further. One problem I have with this trade is that everyone here seems to agree that feb/mar is a good short.
yeah is true, feb/mar can def get a bit wider here.. i don't particularly like feb/mar outright, but relative to mar/apr i do.
i like your trade - tell me how it goes
Quote from Jgills:
yeah is true, feb/mar can def get a bit wider here.. i don't particularly like feb/mar outright, but relative to mar/apr i do.
i like your trade - tell me how it goes
I hear someone got caught long jan futures in serious size into the fiscal cliff so there has been heavy rolling from jan to mar and apr since the fiscal cliff deal was reached. Mar will likely stay bid into the debt ceiling negotiations. Tread carefully.
Quote from rallymode:
I hear someone got caught long jan futures in serious size into the fiscal cliff so there has been heavy rolling from jan to mar and apr since the fiscal cliff deal was reached. Mar will likely stay bid into the debt ceiling negotiations. Tread carefully.
yeah it is a bit disheartening that the trade looks so obvious to do here. where do u get that news from?
do you agree that it is an inexpensive way to be long convexity?
do you have the opposite position on?
Rallymode, what do you think about my experiment, a J/F/M fly hedged by short vxx?
Quote from rallymode:
I hear someone got caught long jan futures in serious size into the fiscal cliff so there has been heavy rolling from jan to mar and apr since the fiscal cliff deal was reached. Mar will likely stay bid into the debt ceiling negotiations. Tread carefully.
Quote from rallymode:
I hear someone got caught long jan futures in serious size into the fiscal cliff so there has been heavy rolling from jan to mar and apr since the fiscal cliff deal was reached. Mar will likely stay bid into the debt ceiling negotiations. Tread carefully.
well after the cliff deal thing.. the curve stretched even into the back months.. and then it bounced back to where its at now.. would make sense that who ever was taking back all that risk hedged it out into the backs..