Thursday, July 29, 2010

Switched my short VIX over a month

As the market is selling off today, the premium of Aug VIX over the VIX index has narrowed to under 1 while the difference between Aug and Sept VIX futures remains at 3. So I've covered the short Aug VIX referred to in Uptrending Equity: Volatility arb and opened a new short in Sept VIX. I'm still hedged with puts, and I'm showing a small gain on the overall hedge.