OPENING: VIX MAY 17TH 11/14/14/17 IRON FLY

... for a 2.05 credit.

This particular setup involves examining where the /VX futures price lies in the corresponding expiry to that of the VIX. Here, the May /VX price is closest to the VIX 14 strike, so that is where the body of the fly is set up. You then proceed to buy a .05 long put in the same expiry, and buy the long so that the wings are of equal length.

Metrics:

Max Profit: $205
Max Loss/Buying Power Effect: $95
Break Evens: 11.95/16.05

Notes: I'll look to manage at 25% max profit, as I would with any other short straddle or iron fly.

Commento:

Covering the near worthless call side here for a .10 db, rolling the short put side out to the June 9.5/14 for a .04 db, and selling the oppositional 14/19 call side for a .46 credit, so that I'm net credit for the roll by .32. Scratch point is now 2.37.

Trade attivo:

Running into expiry, here's how I'm basically going to work the June VIX setups I've got on -- first, I'm going to close out the short call sides on Tuesday, assuming they're approaching worthless. Instead of rolling the short put sides out, I'll look for a small rollover bump as the June VX futures expire and "rolls over" to July. VIX is a.m. settled, so if spot doesn't hit the low side BE on rollover, I will experience a loss of some sort, although it probably won't be max, since my long put's at 9.5 in this setup and 10 in the other (a 10/15/15/20, the BE of which is at 12). You can also just close out the short call and leave the long call on as a potential lotto trade (you never know what'll happen in the overnight).

Trade attivo:

Covering the 14 short call for a .05 db; allowing the remainder to go to a.m. settlement.