Sorry if I was confusing-- I sold the straddle, so I should have just called it a strangle, and I had to edit that previous post a few times to get the 3rd grade math correct. 
VIX SOQ (VRO) Thread
- Thread starter PetaDollar
- Start date
Thanks FSU, this is the first time I've heard about the HOSS.
Ok, let me get this vertical spread +12/-13 result correct:
-13: no payoff
+12: +0.36 to me
total purchase cost: 0.80
Thusly, my loss is 0.36 - 0.80 = -0.44 (size 5 = -$220)
-13: no payoff
+12: +0.36 to me
total purchase cost: 0.80
Thusly, my loss is 0.36 - 0.80 = -0.44 (size 5 = -$220)
On the morning of VIX expiration, everyone (customers, marketmakers, firms) can participate equally in the following months SPX option opening. The opening prices of these options are used to "set" the VIX settlement price. Indications are listed at the previous page I posted. There are usually very large orders in the SPX that are used to "massage" the VIX print. Not sure if it is large customers simply rolling postions or not. For example today there were large sell orders in the options, thus a lower VIX print.
The opportunity is to essentially be able to buy or sell an option with edge. For example today you could see that there were large amounts of puts and calls offered. One play with the least risk is to buy the out of the money puts for .05 for knowing that yesterday the strike 100 points lower were .05 bid, then sell the options just after the opening for .10 or .15. Other more aggresive plays could be done with meatier options.
Basically yes. You will see in real time that there are say 4000 1600 puts to sell and what price they will open at. The price they will open will constantly be changing based on the amount of bids out there. If it looks like the price is really cheap, you would join the bid. Take a look at the HOSS site next month and you will get a feel of what is happening.
15.47 Final. I thought premium was way too cheap. I had the 15/16/17 call butter on. They were actually selling this at .04, unbelievably cheap. Also had the 15/16 call spread vs short the 16 vix binary calls. These are great to trade if there is ever any real bids or offers (which they rarely are). So it worked out well this month. I did have the 14/13 put 1x2 (.05 debit) on for a shot on a downside print, so I did lose on this side.
The real opportunity was the Hoss opening today tied to the VIX settlement. March SPX out of the money calls and puts opened extremely high.