Hypothetical VIX spike scenario question

Discussion in 'Options' started by dcwriter2, Sep 16, 2021.

  1. Let's say I am crazy and have a naked UVXY short call at 45 expiring in one month AND a naked UVXY short call @ 45 expiring in Jan 2024. And tomorrow, the VIX spikes to the moon, say, 80. Will one of my short calls go up more than the other? Or will the both wind up about the same. On an ordinary instrument, I would say the longer term goes up more, given the time value left. But considering the reversion to mean tendency of the underlying in this case (UVXY), would indeed the short LEAP move as much or more upwards as the short term short call? Do I just compare vegas?
     
  2. 2rosy

    2rosy

    you can use an option calculator and see for yourself. many free online. shorter maturity moves more
     
  3. Damn, why didn't I think of that. TKS.