A few weeks ago I discovered that I have an alter ego over at optionMONSTER who thinks about and writes daily about the same subjects VIX and More likes to tackle. I am speaking of Chris McKhann, whose How to Use VIX Options for Insurance, is available for those who do not mind going through the free registration process that is required to access all the free content at optionMONSTER.
Chris makes some important points about VIX options, notably that they are priced off of VIX futures. He adds that one can get a relative sense of the how expensive VIX options are by comparing the cash/spot VIX to the VIX futures. This approach is similar to using the VIX:VXV ratio and is something that I will discuss in this space in the near future.
(For a similar take I had back in September, check out VIX Options as Catastrophe Insurance.)