This question and answer session was from a recent Rebel Capitalist Pro event. One of the members who is working on his own Dragon Portfolio asks Lyn Alden, “What are your ideas for going long volatility without incurring much of the ‘cost to carry'?
He goes on to write… I have built duration positions in the VIX buying December expiration calls with $15, $17, and $20 strike prices.
Recently I have gradually started to roll to even longer durations using January and February expirations with deltas of around 85. I have been buying on days with the VIX around 22 or 23 and the VVIX below 110.
Any ideas, suggestions, or other strategies you might use to protect downside risk other than just holding cash?