I like the odds of VIX staying below 26 for much of the next 16 days until the Nov VIX option expirations. Did a bear vertical spread, selling 30 VIX Nov 26 calls and buying 30 Nov 27.5calls for a net credit of .45. Tried .50 for a while without success. The 0.45 order took about 5 minutes to execute. The quoted net on this spread was 0.25.
The .05 difference between my initial and final offer was worth 30* .05 * 100 = $150, so it is worth a few minutes of effort to see if the market will bite.
The worst case loss on this position is 30*100* 1.5 (the spread between the 26 and 27.5 options) - 30*100*.45 (the net credit when opening the position) = $4500- $1340 = $3150. The best case profit is keeping the initial credit of $1350 -- if the November VIX options settle below 26 on the morning of the 19th.
Thursday, October 29, 2009
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Market sentiment is the general feeling or mood of the investment community as to the anticipated price development in a market. This feeling or sentiment is the accumulation of a variety of factors including market data, technical analysis, government reports, national and world events.
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