You can attack the problem of having to wait around for a sub-12 opportunity in a couple of different ways: (1) set up a GTC order for a 11/13 short put spread with a fill price of at least 1/3rd the width of the strikes (in this case, 1/3rd of $2.00 is .66); or (2) set up a GTC order for a calendar spread.
In this particular case, I'm setting up a calendar spread, since it has greater profit potential and I can potentially accommodate my sub-12 long notion should I be able to get filled at a low price for the spread.
Here's the setup:
Dec 16th VIX 25 short call/Jan 20th 25 long call for .10 debit (tentative )
Max Profit: $352/contract
BPE/Max Loss: $10/contract
First of all, this is unlike most of my other setups, since I'm not looking for an immediate fill at that particular price. I can tell you right now there is virtually no chance that I'll get filled with this setup for a .10 debit; the setup's currently priced at about .53 at the mid, and we'd have to a significant dip for that .10 debit fill to occur. What I'm basically looking to do is to monitor pricing of the options and the setup over the next couple of weeks, tweak the strikes on a dip and look to work the setup to where the breakeven on the low end is in that 11.50-12.50 range. And naturally I want a low end 11.50-12.50 break even setup to be at the lowest price I can get. If I can't get in to a setup with that low end breakeven I'm looking for in the next ten days or so, I'll take the GTC order off and look at Jan/Feb calendar setups with the same profile.
Secondly, managing calendars can be tricky and because of this I don't use them very often. In this particular case, the front month is the 25 short call; it will expire a month before the back month long call option. If we reach expiration of the short call and price is below 25 in the VIX at that time, I would keep the entire credit collected for that option, leaving me with the long 25 call back month to deal with. However, sometimes it's advisable to actually take the long call off before the short call, since as price moves toward 25, the value of the long call increases. If you wait too long and price retraces away from the 25 long call, the value of the long call option decreases, and you potentially lose profit on the long call. And if you take the long call off too soon and price breaches your short 25 call, you're left holding the bag with a 25 short call, missed profit on the long call, and, well, I think you get the picture.
Fortunately, the VIX is unlike any other instrument in the marketplace; 2/3rd's of the time it is under 15, which is a fact that benefits this setup and militates in favor of taking the long call off at the height of any VIX spike (like I said, timing is everything in calendars, and it's really tough to call the top of a VIX spike) -- even potentially before the short calls expire, leaving you with short calls that you can roll for duration until the VIX returns -- as it does 2/3rd's of the time -- to sub 15. Because one thing you don't want from this setup is to be holding VIX 25 Long Calls when price returns to 15 ... .