# Hedging with the VIX



## Grinder (4 July 2009)

I just read interesting post on Waynes blog  http://sigmaoptions.blogspot.com/ from another blogger Bill Luby of http://vixandmore.blogspot.com/ about the VXV the CBOE S&P 500 Three-Month Volatility Index. It got me thinking about using the VIX as a hedging instrument for my delta neutral trade on the SPX. 

I try and stay delta nuetral as possible and use a variety of adjustments to hedge short vega when deemed neccessary, usually calanders, DD or strangles to do the job. It's served me well & if it aint broke why fix, right? 

However, a call spread on the VIX or even a diagonal calander with the favourable vol skew looks like a viable alternative. 

Tell me why you don't like it?


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## wayneL (4 July 2009)

Grinder said:


> I just read interesting post on Waynes blog  http://sigmaoptions.blogspot.com/ from another blogger Bill Luby of http://vixandmore.blogspot.com/ about the VXV the CBOE S&P 500 Three-Month Volatility Index. It got me thinking about using the VIX as a hedging instrument for my delta neutral trade on the SPX.
> 
> I try and stay delta nuetral as possible and use a variety of adjustments to hedge short vega when deemed neccessary, usually calanders, DD or strangles to do the job. It's served me well & if it aint broke why fix, right?
> 
> ...




VIX options aren't something I have even looked at. But worth looking into.

I presume the options are on VIX futures?


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## MRC & Co (5 July 2009)

wayneL said:


> VIX options aren't something I have even looked at. But worth looking into.
> 
> I presume the options are on VIX futures?




Sorry, noob in this area, but can you actually trade VIX futures?  Simply betting on volatility........might be a good play at the moment, with a break surely coming soon one way or the other (note down) on the S&P......


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## Timmy (5 July 2009)

You can trade VIX futures but volumes are very low.

Volatility Index (VIX) Futures


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## mazzatelli1000 (5 July 2009)

Grinder said:


> However, a call spread on the VIX or even a diagonal calander with the favourable vol skew looks like a viable alternative.




Not an expert in this, but a fellow trader plays with these.

If you start playing with time spreads in the VIX you need to be well versed in backwardation and term structure of the VIX futures (which subsequently affect the options).

Otherwise a world of headaches


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## wayneL (5 July 2009)

mazzatelli1000 said:


> Not an expert in this, but a fellow trader plays with these.
> 
> If you start playing with time spreads in the VIX you need to be well versed in backwardation and term structure of the VIX futures (which subsequently affect the options).
> 
> *Otherwise a world of headaches*




I think that's bang on.

IT seems to trade a consensus of opinion rather than the underlying spot VIX.

#### that!

Pass.


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## Grinder (5 July 2009)

Note taken. Will continue to look into em to get a better understanding of their makeup structure.


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## MRC & Co (5 July 2009)

Timmy said:


> You can trade VIX futures but volumes are very low.
> 
> Volatility Index (VIX) Futures




Thx Timmy.


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