NaughtyPines
Short

OPENING: VIX OCT 16TH 16/18 SHORT CALL VERTICAL

TVC:VIX   Volatility S&P 500 Index
... for a .60/contract credit.

Notes: A VIX term structure trade with a break even at or above where the corresponding /VX future is trading. Designed to emulate what a correspondent front month futures contract in /VX does as it converges on spot, the short call vertical has a 16.60 break even versus the October /VX contract at 16.55.

Will look to take profit at 50% max.


Trade active: Rolling up the 18 long call to the 19 for a realized gain and a .28/contract credit. Scratch at .88/contract with a break even at 16.88.
Trade active: Rolling up the 19 long call to the 20 for a realized gain and a .35/contract credit. Scratch at 1.23 with a break even at 17.23. Essentially playing the elevator up/down game with a spread, rolling up the long aspect in profit and waiting for mean reversion ... .
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