Thursday, June 25, 2009

VIX Smack Down


Hear that?

It's the extrinsic value getting sucked out of option premiums.

With today's rally from nowhere, the VIX has been taking it on the chin. Intraday the VIX moved sub 27. Keep in mind the VIX hasn't had a daily close below 28 since back in September of last year. It will be interesting to see how the VIX closes the day.

For those doubting Thomas's out there unable to curb the inner contrarian, selling OTM puts on the VIX may serve as a decent bullish bet on volatility.

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1 comment:

Tim Justice said...

Had my biggest day in weeks today....IV getting crushed! Yeah Baby~!