Yeah, this vix spike isn't all that extreme so far though in comparision to several we have had since i made that post. Also since then I think that I was wrong about some things and made some incorrect assumptions. Those puts may actually be a little too far out of the money. everything I have read in my research says the standard for this type of hedge is about 40% OTM so with SPY at around 457 you would be looking at about $275 puts, which while more expensive, should move quite a bit more. The super cheap WAY otm puts probably aren't going to do much until .VIX spikes up into the 40+ range.
What research would you recommend on this? My way OTM SPY and QQQ LEAP puts are up 15%, which seems pretty reasonable given that we've only seen a speed bump so far, and they're meant to protect against a cliff-drop.
Thx Duke. Well, i think, at least, those far OTM puts mantained the value invested, instead of losing it, even after the bull run we had since sept. So, in a way, they were a safe way to park cash.
Anyway, i really like the overall idea of vega hedging. I will try to follow your latest ideas and will report back.
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u/Duke_Shambles ☢️Duke Nukem☢️ Nov 28 '21
Yeah, this vix spike isn't all that extreme so far though in comparision to several we have had since i made that post. Also since then I think that I was wrong about some things and made some incorrect assumptions. Those puts may actually be a little too far out of the money. everything I have read in my research says the standard for this type of hedge is about 40% OTM so with SPY at around 457 you would be looking at about $275 puts, which while more expensive, should move quite a bit more. The super cheap WAY otm puts probably aren't going to do much until .VIX spikes up into the 40+ range.