Friday, October 10, 2008

VIX November Futures

Per reader request, a chart of the VIX November futures (X8), courtesy of Futuresource.com:

[source: FutureSource]

at

7 comments:

  1. AnonymousOctober 10, 2008 at 10:23 AM

    put ratio backspread?

    sell put atm-itm....buy putS OTM

    ReplyDelete
  2. Bill LubyOctober 10, 2008 at 10:26 AM

    I'm a big backspread fan, but I find them difficult to turn into winners when IV is so high.

    ReplyDelete
  3. AnonymousOctober 10, 2008 at 10:31 AM

    I do it.

    Sell vix put 70

    buy vix puts 40

    october 21.

    ReplyDelete
  4. AnonymousOctober 10, 2008 at 11:32 AM

    I like that trade. Relatively low risk with great leverage. Prolly won't be a big winner but you never know in this market.

    ReplyDelete
  5. TJFOctober 12, 2008 at 5:35 AM

    Thanks Bill.

    ReplyDelete
  6. TJFOctober 16, 2008 at 2:21 PM

    What do you think of buying the Nov 30 puts on the VIX? Trading at 0.65-0.70 with the Nov futures contract at $42.90.

    ReplyDelete
  7. Bill LubyOctober 16, 2008 at 2:39 PM

    Eric,

    I'm not a big fan of the trade because of the high IV (100ish) that you will need to overcome.

    You might want to consider something where you have less theta risk, such as a bear call spread (e.g., 40/45 or 45/50), or is not as far out of the money. Just a thought...

    Cheers,

    -Bill

    ReplyDelete