Brexit Trades and its effect

[Richard]

Kim,

Assuming a large move to the upside or downside this Friday as a result of the Brexit decision:

- What SO Trades are most set to benefit or lose?

- Are you looking to add or reduce exposure considering any large market movement?

- Have prices or IV already been priced in the market?

Thanks,

Richard.

[Kim]

My intention is to close the SPX July fly and the VXX diagonal by tomorrow the latest. So we will be left with two RUT trades which have very flat P/L lines and are not expected to be too impacted. Plus we will have the Aug fly which is delta negative, and VIX puts hedging it. I might also open another VXX diagonal. I think we are well positioned. IV is expected to go down after Brexit. 

[Richard]

Thanks for that.

For those that (regretfully) sold the VIX puts sometime ago would it be worth considering adding some puts are are they now too expensive?