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Tuesday, August 10, 2010
Switched out my SPY puts for a long Aug VIX
the difference between Aug and Sept VIX is now 4, meaning that my hedge mentioned in Uptrending Equity: Switched my short VIX over a month has suffered a bit. In order to reduce the time drain on the hedge and reduce my acct margin requirements, I swapped my market puts for a long Aug VIX, now that Aug VIX more or less matches the VIX index and the difference between Aug and Sept is so large. Once Aug expires I can always buy some puts again.