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.
Showing posts with label vix options bear spread. Show all posts
Showing posts with label vix options bear spread. Show all posts
Thursday, October 29, 2009
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