3 replies to this topic

[ogm]

[eminimee]

Just have to remember that vix doesn't necessarily have to fall for prices to rise....if that happens to be your thinking.

http://stockcharts.com/c-sc/sc?s=$VIX&p=M&st=1992-08-01&i=p32397262992&a=78821384&r=3656.png

[hedgehawk]

OGM, you probably already know this but I wanted to post it since others will be looking at taking this play as well. The 2 mo out options are pegged to the VIX futures, so they dont seem to move that much in other words the delta seems to be highly manipulated on 2 mo out VIX options. I find the front month options delta is more reflective of the actual movements in the VIX, although the trade off is that decay or theta has to be managed carefully as more than a week in a front month option will cost ya, so I play front month VIX options for the snap back play only and do not hold over the weekend (decay).

[ogm]

Just have to remember that vix doesn't necessarily have to fall for prices to rise....if that happens to be your thinking.

True, but spikes over 40 on VIX don't tend to hold. That is my thinking.

Hedgehawk, I'm not planning on holding them. If we spike to 40, I'll just play the drop back into 20-s. Thats it. I doubt that 40 levels can be held over extended period off time. So far history says they don't. Thats the play I'm going for.

Edited by ogm, 10 August 2007 - 07:26 AM.