The August 12 VIX calls are selling for 2.65, while the 12 puts
are essentially worthless. Breakeven on the calls is over 22% up in
33 days. While the VIX has fallen significantly since the market
lows, vol on vol remains quite high. Don't see a VIX option play
here; have to use alternatives.
The August 12 VIX calls
Possible Long volatility/Short RUT trade today
Posted by a_l_ on 16th of Jul 2015 at 03:31 pm
The August 12 VIX calls are selling for 2.65, while the 12 puts are essentially worthless. Breakeven on the calls is over 22% up in 33 days. While the VIX has fallen significantly since the market lows, vol on vol remains quite high. Don't see a VIX option play here; have to use alternatives.
Thinking about selling AUG UVXY
Posted by a_l_ on 16th of Jul 2015 at 03:35 pm
Thinking about selling AUG UVXY 23-22 put spreads and buying 12 VIX puts.
Did that small for .25
Posted by a_l_ on 16th of Jul 2015 at 03:38 pm
Did that small for .25 net credit