Sep 11, 2010

Week in Volatility

This has been a short (US holiday) and rather boring week for volatility. VIX was practically unchanged, with futures falling slightly. VSTOXX was unchanged, however futures fell sharply with front three months declining by about 2 points, and bank months by about half point.
With front month futures risk premium decaying rapidly into expiration, and with my sweet spot at about 25 I had trouble re-hedging, and trying to shift everything lower. With only two trading days until expiration it is a fait accompli that September won't work out exactly as I planned. October futures closed at 27, and with October historically being a volatile month, October skew seems cheap. Is there a way to be short delta and long skew?

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