Replies to post #465 on Volatility Arbitrage (ARB)

[dr_praeses]

LEH

[Myself °¿°]

#msg-28534324 not fully understanding the mechanics of VIX and vix implied volatility,
I'll ask 2 questions...
Did my VIXEX May22.5c fall to far out of the money to come back and how far does the vix need to come back up before they return gains?
I'm assuming the i/v will probably slide as the vix rises.

Thanks

current stats

 
          Symbol       VIXEX             
                             
            Type         VIX 
                    MAY 2008 
                   22.5 Call 
                             
         Bid/Ask   1.35/1.40 
           Delta      0.4127 
                             
  Expires (days)          29 
    Implied Vol.     89.7829 
     1 Day Decay     -0.0354 
                             
   Intrinsic Val        1.38 
    Time Premium        0.00 
                             
       Stk Price       20.81 
                             
                             
          Loaded    10:18:06 
                       AM ET