Who Shot The VIX?

• Posted by Adam Warner
• on November 6th, 2009

Did the VIX really shoot up to 31 last week or was that a dream? I’m thinking the latter, kind of like Bobby Ewing on Dallas.

But if it’s real, damn that was quick. We sat at these levels all of 6 sessions ago.

The interesting thing is it didn’t really take all that much of a market rally to get volatility slammed again. From the depth’s of Monday to now we are up about 3.5 SPY points, not much over 3%. I think that speaks more of the over-panic that got the VIX to 31 in the first place rather than any undue complacency now. The VIX, and volatility in general, feels pretty fair around here and modestly lower.

My plan from the other day of buying gamma in ATM strikes and selling it at higher strikes? I guess an “eh”. The stocks inched towards the higher strikes, so that part was good, and I did fine with it so can’t complain. But the move up wasn’t all that strong, and the volatility crush was pretty quick, so i suspect simply selling puts or put spreads worked at least as well, and probably better. Options are about alternatives, and the simplest one (buy-writing or naked put selling) did fine.

 

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