Betting that fear will fade


I created a bear spread on VIX options, selling the deep-in-the-money  18 Feb Calls and buying 25 Feb Calls as disaster insurance.   The net credit was 4.15.  Splitting the ask / bid on both options gave a 4.20 starting point, but  when it didn’t fill I gave up a nickel–then the order filled in a couple of minutes.   The 18 calls filled at 6.22 and the 25 calls at 2.04.  Break-even at expiration will be VIX at 22, which didn’t seem like too much of a risk.  I estimated  (based on the 10 Feb call bid / ask numbers), that the VIX Feb futures were right around 24 at the time, and the VIX was up into the 25 range.

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