Aug 22, 2010

VIX Trading Strategies from Jeremy Wien

Mr Wien published two excellent articles on VIX strategies. Here is the presentation he did for CBOE last April, and here is an article he wrote for Active Trader magazine, published this May.

The strategies he recommends:
  • Short straddle + hedge upside risk with OTM call
  • 1x2 put spread
  • Butterfly
  • Bull spread + long call
Here are some illustrative charts; the discussion of the strategies in the articles is far better than what I can repeat here. The only thing that I can add here is that the first strategy is structurally similar to a fly, since downside risk in the VIX is minute compared with the upside.

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