allowing using a function of VIX value (1D, 9D, 30D) to set the strike price for a leg, for instance ATM + VIX1D treated as 1 standard deviation for the day
maybe? someday?
a
alain demour
Ideally a factor of of one of the vix would be most flexible e.g. ATM + 1.5 * VIX9D .. something like that
