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Thursday, July 3, 2014

S&P E-mini Volatility Catcher

VIX below the floor. Next volatility catcher with E-mini futures and options...
+3 September 30 delta puts, +1 September S&P E-mini.

Setup
Take profit +10-20%
Stop - 15%
Time - 2-3 weeks.

OptionVue Matrix


P/L and time decay



P/L and volatility