Monday, November 9, 2009

VIX Sonar

With VIX expiration for November options on the horizon (next Wednesday), I'll be stalking the fear index in the coming days for a few potential plays. Given that the VIX is quickly becoming a tad oversold, we may have a short put play in the cards. It's only been a week since the VIX mega spike and boy have the tables turned. Kudos to anyone that had the guts to fade the spike via short calls, call spreads, short VXX et. al. Though I sold some SPY put spreads and shorted some VXX, it certainly wouldn't have hurt to have sold some more.

Looks like we had some sellers of November 25 puts to the tune of 6K contracts per today's Volatility Sonar Report. If the VIX comes in a bit more and the Nov 22.50 puts get some more juice, my interest may impel me to action.

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