Not so much recommendations as strategies to think about. I guarantee pricing on these and other strategies will change a great deal during the day, but looking at yesterday’s close and not taking into consideration this morning’s futures:
- Bear put spread (ITM) – long the March 18s and short the 15s or 16s
- Bear call spread (ATM) – short the March 17s or 18s and long the 20s or 22.5s
- Outright purchase of puts (ITM) – March 22.5s or 25s
- Short calendar spread (ATM) – short the March puts, long the April puts (probably the 18s or 20s)
Note that the suggested action targets March because reversion to the mean is a much better bet for the next 10-20 trading days than for April and beyond.
This presumes you have read my caveats from earlier. If you haven’t, I highly recommend that you do. If the caveats haven’t sufficiently dampened your enthusiasm for VIX options, then before making any trades I suggest you think about how Brian Overby at TradeKing compares VIX options to predicting the weather four months in advance based on current weather patterns.