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VIX Hedge Update...

Given today's market volatility, I wanted to quickly follow up on Michael Kuhow's volatility hedge I commented on a few weeks back on Twitter...

https://twitter.com/42BrooklynDodge/status/1392506799941632007?s=20

The VIX call spread Michael recommended is currently in the black but - as a hedge - it is poorly positioned to offer support should the market volatility continue... let's take a look at the risk of the call spread vs a straight long call...

The call spread is under performing the straight call in every way... PnL is lower, position delta, gamma, vega and leverage are all lower meaning should the market volatility continue to escalate, the spread will be a poor hedge going forward vs buying the straight call.


 

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