VIX fly (switch)

A

atticus

B2 Dec, S1 Oct, S1 Jan; 1.10 to the sell (current mark). Will hit parity in 2 weeks. Not an options trade but lacking a vol-forum.
 
rolldown looks good, i agree
the fly itself does look dislocated
my concern would be the delta aspect of it - the fly is well corred w spot
 
Quote from atticus:

B2 Dec, S1 Oct, S1 Jan; 1.10 to the sell (current mark). Will hit parity in 2 weeks. Not an options trade but lacking a vol-forum.
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sounds ok, just watch for curve flip as imo oct short and jan short will outpace dec long by a long shot in a vol rise. still a very directional trade. also long a oct dec trade "elsewhere" is already .10 under , so be careful. you are short oct in 2 different trade set ups.
 
Quote from sellindexvol66:

oct dec touches -.50....today...of course i went long too now (@ -.35,-.40), lol..gl to us!!!
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I was down 15-20 cents on it today, not terrible considering we were -40 on ES.
 
Great speculative play!!! I saw this and put the same fly on using NOV instead of OCT. I only did it 15 by 30 by 15 or so. Liquidity is poor in those back month futures, a large position can easily get too cumbersome to trade out of.

I also traded 22k vix contracts today...this little future fly won't even make a dent in my option portfolio's p/l, more of a test trade with real money.
 
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