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Strategies & Market Trends : Option Spreads, Credit my Debit -- Ignore unavailable to you. Want to Upgrade?

To: KFE who wrote (980)	10/17/1999 2:11:00 PM
From: Lee Lichterman III	Read Replies (1) \| Respond to of 2317

Continue panning down those VIX numbers and there was years afterwards from 94 on where the VIX stayed between 11 and 13. Just goes to show it isn't always a reliable indicator for short plays. EDIT - Ooops sorry, just realized I posted on the wrong thread. This post was linked from another thread and I thought I was responding to that one. Sorry. Good Luck, Lee

To: KFE who wrote (980)	10/17/1999 4:38:00 PM
From: Jon Tara	Read Replies (2) \| Respond to of 2317

Wow, that IS a spike! I guess you'd want to sell the hell out of a VIX over 100... If one believes that the market will recover, even mildly, then bull spreads should be attractive. Certainly a straight long call position would be risky, because the subsequent contraction of the VIX could very easily wipe-out or even reverse any profit if the recovery is only mild. I need to review McMillan, but it seems to me that it might be more attractive to do a bull spread with puts (e.g. a put credit spread). I would assume that under these market conditions, the put premium would expand relative to the call premium. McMillan notes that these are generally not attractive, because of the risk of early assignment. But by doing it on a European-settlement index option (like OEX) that objection is removed. This only differs from the put spreads that are typically done here by the fact that you are selling an ITM put. Other ideas? Is there any covered strategy that one could construct where you'd be buying calls while selling puts? (i.e. buy the cheaper premium, sell the more expensive premium).