Friday, February 19, 2010

First Trade Idea

Here is my first trade idea:

On 2/18/10:
Short 4 April 20 Vix Put option for $70
Short 2 April 30 Vix Call option for $130
Long 2 March 50 Vix Call option fro $10 (will buy 2 April 50 Calls after the March expiration)
Expected Net Credit: $70*4+$130*2-$10*2*2=$500
Max loss $3,500 {2*(50-30)*100-500}

This looks like something between an iron condor and short strangle. The reason it is not an iron condor because I'm not hedging on the downside since VIX probably will not go below 10.

I will follow the performance of this trade and compare it to the CBOE S&P 500 VARB-X Strategy Benchmark.

No statement within the blog should be construed as a recommendation to buy or sell a security or to provide investment advice.

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