Friday, December 18, 2009

Bearish on VIX -- putting some money down

Created a bear spread on VIX:  sold to open 40 Jan 24 calls at 2.18 and bought 40 Jan 25 calls at 1.85 for a net credit of 0.31.  The best case profit on this position is $1240, and the worst case loss is $2760.  With VIX in its downward long term trend this felt like a reasonable bet.


Anonymous said...

look at the vix charts for your time period in 2007 and 2008. vix rises from after xmas to early jan. we can easily print 25 vix in that time. i trade vix futures full time so just take a look.

VanceH- said...

I very much appreciate the advice, I'll take a look. In any event I don't plan to hold till expiration--too much risk of a correction jumping things up.