VLO and refining margins

As an additional hedge to the 3-way arb described in my earlier post Brent/WTI spread very wide, because the short long-dated WTI futures is overweighted in that arb, while RBOB (gasoline) futures are in backwardation, which would indicate further strength in gasoline, all other things being equal, you might want to buy VLO, the cheapest refiner fundamentally, with a great chart to boot, as an additional hedge to the previous trade.

Essentially, the trade as it stands now is a 4-way arb where every part of the trade has positive expectation of profit on its own, but hedges other parts of the trade nearly perfectly.  The legs of the trade are:

Long 1 unit Mar WTI
Short 1 unit Mar Brent
Short 1 unit Dec WTI
Long 1 unit Dec Brent
Short 1 unit either Dec or Jun WTI
Short 1 unit Feb VIX
Short 1 unit Mar VIX
Long some VLO, offsetting the short Dec/Jun WTI

This should essentially make you net flat risk aversion.  I'm currently in every leg of this trade.

Volatility arb

There is a large contango in VIX futures. I'm arbing it by shorting Aug VIX and buying Sept SPY puts (since the Aug VIX is supposed to reflect the IVs of Sept options) at various strikes w/ IVs at around 22-24%. Over next week or 2, assuming the market doesn't move, Aug VIX should converge down to VIX index, while IVs on SPY options increase as they near expiration. If market moves up or down, the two sides of the pair offset each other. In fact, on the face of it, it appears that the net paired trade is long gamma, meaning that the pair together makes money the further the market moves away from the original price upon entry, assuming both sides of the trade were delta-hedged at the beginning (you will have to come up with an approximation for the delta of Aug VIX). This may lead one to want to sell calls on VIX instead of outright shorting it if you want to neutralize gamma. However, a short VIX position itself may be slightly negative gamma already, as there's a built-in floor to VIX as the market moves up, while VIX can scream much higher as the market falters. Thus, I think an outright short on VIX is adequate.

Alternatively, you short the VXX ETN, which is comprised of both Aug and Sept VIX futures, and buy corresponding weights of Sept and Oct SPY puts. As of July 22, the VXX fund has mostly Aug futures and is dumping some every day to buy Sept futures. http://www.ipathetn.com/VXX-weights.jsp. In fact, this may be preferable, as people are always trying to front-run these cumbersome ETFs/ETNs.