Wednesday, December 12, 2007

Fed-Day VIX Option Trade Result

Last week Wednesday I pondered a long $VIX.X option trade to capture noise around the Federal Reserve announcement. I naturally thought I would report on that trade idea result today.

Excluding costs, if the hypothetical trade had been put on this Monday afternoon and taken off at yesterday's close after the announcement, it would have generated about +13.7% (corrected). Not too shabby.

Nice Move

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