Friday, May 7, 2010

VIX Implied Volatility Exceeds 2008 Crisis Levels

VIX options are attracting so much attention that the implied volatility of the VIX is currently at 133, which exceeds that high of 126 that was hit during the 2008 crisis. The obvious play here is to sell VIX calls, with short call spreads (bear call spreads) one way to limit risk.

For more on related subjects, readers are encouraged to check out:

[source: Livevol Pro]

Disclosure(s): short VIX at time of writing; ivevol is an advertiser on VIX and More

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