tag:blogger.com,1999:blog-897456774486153841.post5809686794060964626..comments2024-03-29T01:52:41.092-07:00Comments on VIX and More: Selling VIX Puts Pre-ExpirationBill Lubyhttp://www.blogger.com/profile/01241003017364820134noreply@blogger.comBlogger4125tag:blogger.com,1999:blog-897456774486153841.post-77132560697006723212009-06-16T16:56:34.459-07:002009-06-16T16:56:34.459-07:00I actually put this trade on yesterday, before rea...I actually put this trade on yesterday, before reading your post. It's a risky play without a doubt, but I couldn't believe that the June 30 puts were offering a bit under $1 of time premium for a day and a half to expiration! Incredible.<br /><br />A couple notes:<br /><br />- If you're conservative like me, you can use a vertical spread trade to cap your maximum loss. On Monday, I sold Jun 30 puts and bought an equal number of Jun 27's for a net credit of 80 cents, with a worst-case loss of $1.70. The $.15 I spent on the 27's eliminated any tail risk (admittedly low probability to begin with, but it helps me sleep at night...)<br /><br />- Don't be fooled by using the wrong VIX underlying quote. According to ETrade, "Each month, eight days prior to expiration, the basis for the VIX index calculation "rolls forward" to include the options series for the approaching month. For instance, the June and July series will be used until the eighth day prior to the expiration of the June series. On that day, the VIX index calculation will roll forward to reflect the July and August series, and data for the June series will no longer be included." The correct underlying quote for the June expiration can be found at: http://www.cboe.com/DelayedQuote/SimpleQuote.aspx?ticker=VIX/M9Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-61440071553676833262009-06-16T16:04:30.690-07:002009-06-16T16:04:30.690-07:00Thanks for sharing....had never thought of that. ...Thanks for sharing....had never thought of that. <br /><br />Great workErikhttps://www.blogger.com/profile/12581489893598823737noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-68349521491395794352009-06-16T09:03:02.759-07:002009-06-16T09:03:02.759-07:00Thank you for catching that, Miklos. Bad oversigh...Thank you for catching that, Miklos. Bad oversight on my part. <br /><br />I will make the correction in the original.<br /><br />-BillBill Lubyhttps://www.blogger.com/profile/01241003017364820134noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-35603387762286787252009-06-16T08:57:20.173-07:002009-06-16T08:57:20.173-07:00Dear Bill,
the VIXJune09 option series expires to...Dear Bill,<br /><br />the VIXJune09 option series expires tomorrow, 16th of June according to the expiry calendar you linked in.<br /><br />Best regards<br /><br />Miklós SzappanosAnonymousnoreply@blogger.com