A Fine Morning for a Calendar...

Discussion in 'Options' started by tommcginnis, Aug 29, 2018.

  1. tommcginnis



    Who knows how long it will last (or if it's in that many markets besides the SPX) but, with the VIX9D at 9.85, and the VIX at 12.45, that's a fine starting point for a calendar. (YMMV. Calendars are not something I generally do. This just kinda pops out -- 2.6 vol points??? Yowie. :wtf:)

    ((The chart: just so it's plain, the green is quotes of VIX9D, and then of VIX.
    The orange is calls IV at 20δ, the bluish is puts IV at -20δ.))
    Baron and beerntrading like this.
  2. I have a strangle on the Qs (yes, it's market-wide) that I'll be closing today. It was a hedge against a quick downward move...a very, very cheap one. :)
    tommcginnis likes this.