So youre selling a ps on VIX with higher strike in the money, long strike just right at the money? I have always been told that you want the index (or any underlying) to move toward your short strike (in order to capture maximum theta) What is the rationale on the 7 strike range on the VIX ITM put spread if I may ask? I get the VXX cs and completely agree with that side of the pair. But it also appears that you executed ITM cs shorts on VXX back in Aug/Sep when the curve was in Contango. Again, what lead to those strikes to target?
Sure. Let me think and I will get back to you tomorrow. Also critically- It probably would be best to have over 30K in your account before attempting these amounts of margin for your trade. You can scale down if you have less. Just for education, not a formal recommendation. 8/7/16
Completely understandable. I treat this as a two way conversation for the sake of idea sharing and information/educational purposes only. Certainly not held, and I too do not hold out as making any recommendations. I just think we may be looking at the same things. 8/8/16
So I aimed for improved liquidity by going for selling short legs at OIs of at least 500 in VXX and 1000 in VIX and buying long legs at just Otm. This wasnt always possible for VIX so I aimed to have at least an 8 pt wide Vix spread. Liquidity is good for VIX and by putting on a bigger spread you have an opportunity if VIX has a huge uptick due to a rise in volatility and the start of backwardation. Early backwardation is an opportunity while mid backwardation should probably be avoided. 8/10/16
jonnievega
