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.
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2 comments:
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.
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.
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