NaughtyPines
Long

AN ALTERNATIVE SUB-12 VIX SET-UP

INDEX:VIX   CBOE Volatility Index
18 0 0
In a previous post on VIX             , I suggested a calendar spread set-up for a sub-12 VIX             dip, but also suggested an alternative possibility -- a credit spread. As noted in the previous post, I generally shy away from calendars, since they are tricky and require a degree of impeccable timing to get out of the front month and back month profitably (something I am not particularly blessed with).

Ordinarily, if faced with a choice between a credit spread and a calendar, I would generally opt for the credit spread due to the comparative ease of management.

In this particular case, I would look to have a VIX             credit spread on with a breakeven point somewhere between 10 and 12.

Here's a setup that would do the trick for a December expiration:

Dec             16th VIX             11/13 put credit spread for 1.50
Max Profit: $150/contract
BPE: $50/contract
BE: 11.50

As with the calendar spread, I'm putting this on as a GTC order to fill at the point at which I can get 1.50 for the spread. Naturally, I regard this as unlikely between now about 25 days out from the December expiry (at which time I'll take it off and move to January), especially with this uptick in volatility we had at the end of last week, but stranger stuff has happened ... .
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