Thursday, December 10, 2009

VIX option vertical spread close-out

Although this position expires next Wednesday, and the VIX index needs to drop below 20 before I get less than the maximum profit, I decided to close out the position at 85% of the maximum profit.   The VIX index is on a long term downtrend and I wouldn't be surprised to see the market uptick pretty strongly in the next couple of days.   I created this position with a debit of 9.65 and closed it with a credit order of 9.95--which was a halfway split of this morning's bid/ask spread.   The Dec 10 calls were quoted at 12.20/12.90 and the Dec 20 calls at 2.50/2.70.   The actual close out values for the calls were 12.57 and 2.62.

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