It’s Time to Hedge as VIX Nears 2019 ‘Floor’, Macro Risk Says
- Grinacoff suggests VIX call spreads as UBS looks to Europe
- Evercore ISI and Credit Suisse recommend S&P 500 ETF trades
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The rally in U.S. stocks may have waned, but equities are still near record highs amid subdued volatility. For some strategists, that may be the perfect time to seek protection.
Macro Risk Advisors suggests a trade that involves selling a put option on the Cboe Volatility Index with a strike of 12, while buying a 20 call and selling a 22 call. Derivatives strategist Maxwell Grinacoff wrote in a note Tuesday that he backtested the strategy, both unconditionally and when VIX was below 13, and found it has performed relatively well since the beginning of 2018.