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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