Leaderboard

See: http://www.cboe.com/strategies/vix/optionsintro/part4.aspx http://www.cboe.com/micro/vix/vixoptions.aspx http://www.cboe.com/products/indexopts/vixoptions_spec.aspx http://www.cboe.com/strategies/vix/optionsintro/part3.aspx See also: http://www.cboeoptionshub.com/2014/08/20/quantifying-vix-contango-backwardation/ http://vixcentral.com/ http://www.macroption.com/vix-futures-curve/ http://www.optionpundit.net/how-to-calculate-vix-options-calendar-spreads-margin-requirement/

Entered a 3-week calendar P200 spread on BIDU today @ $1.38. Long August 21, short July 31. Based on option prices BIDU should report on the week ending July 31 (Optionslam is estimating July 23, but prices don't support that). During the Feb 2015 cycle, we entered a 1-week spread for $0.80 & $0.85, and exited at a loss for $0.68 & $0.60 The current ATM spread trades at $0.53 now, which hints that prices are low. So if history repeats itself, we should see the 1-week spread at much higher prices in the next few weeks. I bought the 3-week spread to have more liquidity using the Aug monthly options but the 1-week spread at these prices looks like a good play as well.