VIX trade for 8/18 exp

atticus · Aug 11, 2011

Quote from SrRuthenate:

If it is going to 5, what made you sell at 3.30 ?.

40 points on SPX perhaps?

Out all from 3.20 average as source of funds for the 25/35/45 from 4.60. Half size of the earlier fly. All irons. Natural showing below.

SrRuthenate · Aug 11, 2011

Can you ellaborate on the logic of this roll?. It seems as if you are getting more agressive in your declining volatility posture?. What is the target now for the fly?. Thanks.

atticus · Aug 12, 2011

Out half at 5.30. Will attempt to hold remainder to SOQ.

atticus · Aug 12, 2011

Will be out all at 5.90

john33 · Aug 12, 2011

Vix puts at 30 for 0.75 and 27.5 puts at .25, too risky?

atticus · Aug 12, 2011

Quote from SrRuthenate:

Can you ellaborate on the logic of this roll?. It seems as if you are getting more agressive in your declining volatility posture?. What is the target now for the fly?. Thanks.

Spot at 35.70 and futs at 33.90, which is optimal. Spot down 3.20 on the day which was in line with my prediction (neutral strike touch).

john33 · Aug 12, 2011

to clarify i mean sell 30 put buy 27.5 put

atticus · Aug 12, 2011

Covered 5.30 remaining. Working the short gamma 30-45 condor.

atticus · Aug 12, 2011

Quote from atticus:

Covered 5.30 remaining. Working the short gamma 30-45 condor.

Filled 2.20 risk on iron and natural (average).

atticus · Aug 12, 2011

Quote from john33:

to clarify i mean sell 30 put buy 27.5 put

I think it's a decent play. I missed your post or I would have done it. Cash > 30 is a very high prob through SOQ.