First things first, Happy Anniversary Lauren, thank you for being the kindest, best, most supportive woman on the planet as I dragged you through this start up. You are the best thing in the world.
Now, onto a VIX a trade!
Take a look at where the VIX is currently trading 32.80, right at the low end of the range of the index since the market blew up almost 3 months ago:
With option IV in the toilet, the ATM VIX straddle (the 35 straddle to be precise) is trading at less than 4 dollars,an the November straddle is trading at under 8 dollars. I think both look like SCREAMING buys here.
If the VIX pops back to 40-45 and the futures follow suit, these straddles do fine. If the market heads below 30 (something it is bound to do in the near future), the realized volatility of VIX is likely to be somewhat violent in the next few days. Personally, I would lean toward the October, but that's just me. Those looking for a cheaper play might consider a strangle in November, the 32.5/35 strangle is not bad.
I think the SPX has a run up to 1225 in the cards, but in the end, we head back to 40 one more time. One might be able actually gamma scalp VIX. Keep an eye on XIV and VXX. I think futures slip into contango if we drop much further, which could blow up XIV and crush VXX.
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Graphs from LiveVolPro
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