The positions I closed were on paper. I am thinking of going real for the next round.
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VIX/VXX trade idea
- Thread starter rocky_raccoon
- Start date
The positions I closed were on paper. I am thinking of going real for the next round.
Real life drift will usually have very little representation in options, in a very indirect form only, such as change in borrow (an asset with an obvious downtrend is usually a popular short) and skew (since it is a popular short, again).Quote from TskTsk:
Obvious downtrends tend to price into the options.
Quote from sle:
Real life drift will usually have very little representation in options, in a very indirect form only, such as change in borrow (an asset with an obvious downtrend is usually a popular short) and skew (since it is a popular short, again).
I wonder if the changing degrees in that skew that is in popular shorts says anything about the life of the trend....
Opened another position:
Long 2 VXX Jan13 28 put @1.58
Short 3 VIX Jan13 16 put @1.10
Total credit 1.10*2 - 1.58*3 = 0.14
Same assumptions as in the last month: VIX stays above 16 while VXX keeps moving down.
Long 2 VXX Jan13 28 put @1.58
Short 3 VIX Jan13 16 put @1.10
Total credit 1.10*2 - 1.58*3 = 0.14
Same assumptions as in the last month: VIX stays above 16 while VXX keeps moving down.
As of this writing:
VXX 28 put is .52 (loss (1.58-0.52)*2 =2 .12)
VIX 16 put is .40 (gain (1.10-0.40)*3 = 2.10)
Total: loss .02
VXX 28 put is .52 (loss (1.58-0.52)*2 =2 .12)
VIX 16 put is .40 (gain (1.10-0.40)*3 = 2.10)
Total: loss .02
Why? Even if both puts expire I get to keep .14 credit.