VIX Graph November 27, 2009

There was a little more excitement this week, and the market may show some concern over the Dubai situation.  By Monday, we'll also have the retail results for Black Friday (the shopping day after the Thanksgiving holiday).




2 Responses to VIX Graph November 27, 2009

  1. Steve 11/28/2009 at 6:24 PM #

    In reference to Kite protection, if you were short 8 of the Jan RUT 520/520 put spreads, would a 550 Feb-Jan put calender serve as temporary protection in case of a further RUT fall towards no father than 550?
    I have tried generating risk graphs of otm put calendars with otm put spreads, but not sure if they are accurate in their risk assessment.

  2. Mark Wolfinger 11/29/2009 at 9:33 AM #

    Full reply tomorrow as a separate post.
    Calendars are so-so as protection,in my opinion. But to make them much more effective, the calendar strike should be nearer the danger point of the spread you are protecting.
    Graphs should be ok.