The VIX spot price near 14 is offering another opportunity, as the futures gravitate lower following spot. Only on a few short occasions did the VIX fall below 14 in the past year, and those periods could have been missed if you blinked. While it is possible that the VIX can sustain low levels for protracted periods, it is fairly obvious that the DC theatrics for the spring are far from over. Therefore, there will be memories of last August’s debt debacle, and another round of hedging against politician stupidity that threatens the U.S. economy. All this to protect their political funding and ensure their careers. Ironic, no? (In the sense that to ensure their job, they prevent or damage many other job prospects.)
Regardless, we have to love these folks. They crank up the volatility so we can take advantage of price dislocations. On our performance page, you can see how we used recent event risk to trade volatility. Some of our positions gained over 100% in just a couple trading days. Our proprietary Volatility Wave aided to our conviction in putting these positions on.
As we close out our short volatility positions, we are starting some longer dated long positions. We will post these as they occur.
The futures are still showing a considerable premium to spot VIX, and a significant roll yield:
|VX F3-CF||S&P 500 VOLATILITY||January2013||13:41:56||15.35||-0.25||15.75||15.95||15.30|
|VX G3-CF||S&P 500 VOLATILITY||February2013||13:41:52||16.50||-0.25||16.90||17.02||16.50|
|VX H3-CF||S&P 500 VOLATILITY||March2013||13:41:52||17.75||-0.35||18.25||18.25||17.70|
Long Feb 16 VIX calls @ $1.75 – 1:10 PM
Trade Update: Long Feb 15 VIX calls @ $2.15 – 12:51 PM