$23MM+ VIX Error

Not many image options for VIX futures unfortunately.
Not many image options for VIX futures unfortunately.

While I don’t know this individual personally, I know his shop and many former employees.

1) Outright 200MM notional VIX futures position is insane, perhaps if it’s hedging a 100B book or something. I know he likes to trade big but relative to the size and volatility…..

2) How do you forget expiration day with that kind of position size? Admittedly, when I first started out I screwed up an SPX expiration trade – thinking I could trade it on Friday when they actually stop trading on Thursday and price Friday morning.

3) More importantly, why would you trade a 200MM notional VIX futures front month INTO expiration?! Especially a vehicle that is known to be gamed often and easily, literally like playing roulette!

http://nypost.com/2015/04/12/incorrect-date-costs-broker-nearly-23m-in-liabilities/

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