So far I have been lucky and yesterday’s VXX put credit spread has gone well since have seen a drop in markets and increase in volatility today. However, I don’t see a strong reason to believe that the drop is going to stick around – not saying it couldn’t. So now I am looking at buying some SVIX which fits my overall long bias on short vol.
I started writing the above paragraph on Friday, but never finished the post. However, I did follow through on the trade I had planned to talk about. I felt that the credit spread was worth closing, which I did per the data below.
And instead I wanted to bet on volatility to drop via SVIX with put protection.
I am exploring with the idea of shorting volatility more aggressively and more frequently while using puts on SVIX or calls on VXX/VIXY instead of stop losses on SVIX. I am unsure as to which method is the most effective. I do like the idea of option protection rather than stop losses though the options no doubt do create a decent cost drag.
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