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:
- How to Trade the VIX
- Ten Things Everyone Should Know About the VIX
- Brian Overby on Trading VIX Options
- Four Ways to Play VIX Options Following a Record 64% Move to 18.31
- Selling Fear with a DryShips Bear Call Spread
[source: Livevol Pro]
Disclosure(s): short VIX at time of writing; ivevol is an advertiser on VIX and More