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October 10, 2013 at 1:54 pm
#2572
Steven Place
Keymaster
With the big drop in the VIX, we’re now going to get delta neutral.
Buy +1 Nov 20 Call at 1.45 or lower
If we see a pop in the VIX again, we will resell that contract, continuing to reduce our basis. If the VIX gets hit hard, we will close out the rest of the call sales and call spreads.