Richard 45 Report post Posted June 22, 2016 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. Share this post Link to post Share on other sites
Kim 8,043 Report post Posted June 22, 2016 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. 1 Share this post Link to post Share on other sites
Richard 45 Report post Posted June 22, 2016 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? Share this post Link to post Share on other sites
