I just read interesting post on Waynes blog http://sigmaoptions.blogspot.com/ from another blogger Bill Luby of http://vixandmore.blogspot.com/ about the VXV the CBOE S&P 500 Three-Month Volatility Index. It got me thinking about using the VIX as a hedging instrument for my delta neutral trade on the SPX.
I try and stay delta nuetral as possible and use a variety of adjustments to hedge short vega when deemed neccessary, usually calanders, DD or strangles to do the job. It's served me well & if it aint broke why fix, right?
However, a call spread on the VIX or even a diagonal calander with the favourable vol skew looks like a viable alternative.
Tell me why you don't like it?