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I have been considering this trade for a while. Then I came across this article - http://seekingalpha....vix-for-dummies The thesis is: Rather than just selling naked PUTS on VIX, when VIX is somewhat higher and shows signs of contango, a calendar spread can be effective. The best way to notice this is if the premiums on PUTS are very close, even as the expiry increases. For instance, both the January 2013 and February 2013 16 strike PUT have a bid/ask of $1.05/$1.15. This equalization doesn't exist with normal options, but as I said, VIX options are "strange." When this occurs, I look to sell the January 16 strike PUT for a credit of $1.05, and buy the February 16 strike PUT for a debit of $1.15. Total cost is a debit of 10 cents. So if VIX rises above 16, the January 16 strike premium of $1.05 is fully earned. If the February strike is worth more than 10 cents, profit ensues. Unless VIX goes way, way, way up, gain is a very likely outcome. I did some backtesting and it shows excellent results. I would like to make few small adjustments 1. rather than 16 strike, I noticed that doing the 17 strikes produces better results 2. Instead of doing February/January, I want to do March/January, so I can roll the short options to February after one month. Currently the trade can be done for about 10 cents credit. Remember that VIX calendar has margin requirement. IB requires $150 per spread. So if you allocate 10% per trade, you will do ~6-7 spreads per 10k portfolio. We aim to make 15-20% return on margin within 3-4 weeks ($25-30 per spread) with fairly low risk.

not on VIX, as you actually have options on Feb and Apr futures see term structure of spot vs. futures here: vixcentral.com