MBIA (MBI) - Stock Pops with Vol on Court Rulings. Happy New Year!

MBI is trading $11.03, up 6.5% with IV30™ up 9.5%. The LIVEVOL™ Pro Summary is below.



I found this stock on two different real-time custom scans.

1. High vols.
Custom Scan Details
Stock Price >= $7 and <= $70
IV30™ - HV20™ >= 10
HV180™ - IV30™ <= -8
Average Option Volume >= 1,200
Industry != Bio-tech
Days After Earnings >=10 and <=60

2. Calendar spreads between the front two months.
Custom Scan Details
Stock Price >= $5
Sigma1 - Sigma2 >= 8
Average Option Volume >= 1,000
Industry != Bio-tech
Days After Earnings >=5 <=70
Sigma1, Sigma2 >= 1

But, alas, there is news for the elevated vol in the front:
-----------------
MBIA won a key ruling in a New York court that promises to reduce the time and cost of gathering evidence it needs to prove that Bank of America fraudulently induced the company to insure billions of dollars worth of mortgage bonds originally issued by Countrywide.
Source: Forbes
----------------

Interesting... The MBI Charts Tab is included (below). The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).



We can see:
IV30™: 86.23
HV20™: 46.48
HV180™: 63.83

So, IV30™ is elevated relative to the short-term and long-term realized movement of the stock. But, again, there's reason for this.

Let's turn to the Skew Tab and peak at the month-to-month vol diff and shapes.



So we can see similar shapes, but consistently lower vol as we move further out. The ATM vol diff right now between Jan and Feb is ~11.5 points.

Finally, let's look to the Options Tab (below).



Check out the volume in the Jan 11 calls, over 10,000 have traded in the first two hours on total daily call option volume of just 8,020.

I wrote about this stock on TheStreet.com so I can't discuss potential trades. Suffice it to say, I don't like being naked long or short these options in Jan.

This is probably the last blog post for the year, as I am relaxin' on Friday from home.  Thanks for a great year - we have nearly 40,000 unique readers and a ton of great feedback.

Here's to a phenomenal 2011 for you and your loved ones.  Be safe, be good, be happy.  That's an order!

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Amedisys (AMED) - Depressed Vol... Or is it?

AMED is trading $33.91, up 4.5% with IV30™ down 2.1%. The LIVEVOL™ Pro Summary is below.



I found this stock using a real-time custom scan. This one hunts for low vols.  But, there's a little more to this one (see below).

Custom Scan Details
Stock Price >= $7
IV30™ - HV20™ <= -8 >= -40
HV180™ - IV30™ >=7
Average Option Volume >= 1,200
Industry != Bio-tech
Days After Earnings >= 32

The snapshot of the scan is included (below) in case you want to build it yourself in Livevol Pro™.



The goal with this scan is to identify short-term implied vol (IV30™) that is depressed both to the recent stock movement (HV20™) and the long term trend in stock movement (HV180™). I'm also looking for a reasonable amount of liquidity in the options (thus the minimum average option volume), want to avoid bio-techs (and their crazy vol) and make sure I'm not purchasing depressed IV30™ relative to HV20™ simply because of a large earnings move.

The AMED Charts Tab is included (below). The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).





We can see:
IV30™: 41.26
HV20™: 52.65
HV180™: 62.31

So, IV30™ is depressed relative to the short-term and long-term realized movement of the stock. BUT, this is a touch misleading. We can see the stock gapped up on 12-21-2010 (Deutsche Bank upgrade) which has pushed HV20™ up from ~28 all the way to the low 50's.

We can also see gap moves in AMED stock on 6-30-2010, 7-12-2010, 8-10-2010 (earnings) and 12-21-2010. These big moves are reflected in the long-term historical (HV180™).

Finally, let's look to the Options Tab (below).



Check out Jan ATM vol - it's just 38 while Feb is ~45 and Mar ~46.

Possible Trades to Analyze
The real question here is whether or not AMED has downside risk for the next few weeks given the upgrade. If not, then vol is a sale and downside vol is a super sale. But, since this is a low vol scan result, this would be selling depressed vol. Tricky...

1. Sell the downside:
Sell the Jan 31 puts @ $0.40 (~42 vol).
This is naked short the downside.

2. Buy the Upside:
Buy the Jan 34/35 call spread for $0.45. Anything less than $0.50 gives a Maxgain:MaxLoss > 1:1.

3. Risk lovers:
Do #1 and #2; i.e. the Jan 31/34 risk reversal with a short 35 call. If this can be done for even, it seems like a reasonable bet.

4. Total Opposite:
Hey, this is cheap vol! Buy the downside in a stock that gaps often.
Buy the Jan 34 put for $1.42.

This is trade analysis, not a recommendation.

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Sears (SHLD) - Vol and Stock Pop on Movie News

SHLD is trading $74.18, up 5.9% with IV30™ up 18.7%. The LIVEVOL™ Pro Summary is below.



For you market makers out there, you'll know what I mean when I say, I can't believe I'm writing about SHLD... But this is very interesting... No really, it is...

First the news:
---------------
The owner of Sears and Kmart launched an online streaming video service that lets customers download new movies.
Source: AP
---------------

Right, I mean, how big of a deal can one sentence be?... Hello!? Sears is going into movie downloads? Apple, Amazon, Netflix (they're actually more about streaming) and... Sears?... Huh?

Since Sears has no expertise (or experience) at all in this field, they've partnered with Sonic Solutions.

So, the stock is up, vol is up, and I'm confused... The third one happens fairly often. Let's look to the Options Tab.



The ATM straddle is priced at 48 vol (ish) or ~$7.30 fair value. Yesterday, the ATM straddle (which was the 70 strike) was priced at $5.34 or 37 vol. I found those numbers by clicking on the strike price (70) on the Options Tab, and holding the mouse button down on the pop up. That image is included below.



Let's look to the Skew Tab to get a read on month to month vols and intra-month vol shape.



So, Jan vol is elevated relative to the other months, as expected. The upside in Jan is bent up, the back months not as much. The real problem is that Feb doesn't have enough strike, so you guys making a market in this, please ask for more strikes so we can actually trade this thing.

Finally, the Charts Tab (6 months) is below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).



We can see how the HV20™ (short-term realized stock movement) was asleep, that will change as of tomorrow. The IV30™ has now spiked passed the HV180™ (long-term realized stock movement).

Possible Trades to Analyze
These are all pretty risky, so ya, know, tread lightly...

1. Sell this vol:
Sell the Jan 70/80 strangle @ $3.30.
Cover up with the Jan 67.5/85 strangle for $2.00.
Collect $1.30, upside is much riskier than downside (i.e. MaxLoss is greater). For what it's worth, I don't really like this trade.

2. Sell the downside:
The stock hasn't been moving (see HV20™ comment above), and now the move is up.
Sell the Jan 67.5/70 1x2 put spread @ $0.35. This yields a nice little credit if "nothing happens" or the stock goes up. If the stock goes down, there's a $2.50 put spread for profit below $70, but then naked downside below $67.5. I kinda like this one.

3. Risk lovers:
Sell the Jan 70/80 strangle naked @ $3.30

4. Would like to look at Jan/Feb plays but no strikes yet in Feb.

This is trade analysis, not a recommendation.

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MannKind (MNKD) - Bio-tech Vol Collapses on FDA Delay

MNKD is trading $8.19, up small but with IV30™ collapsing down 42.2% or 113.82 vol points. The LIVEVOL™ Pro Summary is below.



The news is simple. The FDA was supposed to come out with an actual ruling this expo, but then this news came out:
-----------------------------
MannKind Corporation (Nasdaq: MNKD) today announced that it was informed
on December 27, 2010 by the U.S. Food & Drug Administration (FDA) that the agency will not be able to complete the review of the New Drug Application (NDA) for AFREZZA® (insulin human [rDNA origin]) Inhalation Powder by the action date of December 29, 2010. The FDA stated that it will require approximately four additional weeks to complete its review of the NDA.
Source: Business Wire
-----------------------------

For long vol holders in Jan, ouch... a lot...

Yesterday the IV30™ actually closed up17.52 vol points (or nearly 7%). That snap is included below.  You can find this by going to the Charts Tab and clicking on the volume bar at the very bottom for the right day (12-27-2010).



Let's look at the Skew as of right now - just to get a feel for how the month to month vol comps look.



We can see now that Jan is well below March, which is well below Feb. The option market reflects a Feb decision now...

Finally, let's look to the Options Tabs from yesterday's close and then from today, respectively.





Jan Options
The Jan 7.5/9 strangle went from ~$3.75 to ~$1.05, or down 72%.
The Jan 5/11 strangle went from ~$1.95 to ~$0.40, or down 79%.
The Feb options are essentially unched.

The lesson here is pretty simple. Naked long options in a bio-tech risk not just that the news doesn't move the stock, but that the news doesn't surface at all...

And yes, it's slow today so my second story doesn't have any trades to analyze...

This is trade analysis, not a recommendation.

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Rare Element (REE) - China's Decision Moves Industry

REE is trading $14.33, up 22.2% with IV30™ up 20.2%. The LIVEVOL™ Pro Summary is below.



REE engages in the acquisition, exploration, and development of mineral properties primarily in Canada and the United States. The company primarily focuses on gold and rare-earth-elements.
Source: Yahoo! Finance

Here's the news:
------------------
NEW YORK -- Shares of North American companies that mine rare earths jumped Tuesday in pre-market trading following China's announcement that it will cut exports of such materials by 11 percent next year.

China is the world's largest producer of rare earths, which are vital to manufacturing high-tech products such as cell phones, computer drives and hybrid cars. A drop in Chinese exports would boost demand for competing companies in the U.S., Canada and Australia.
Source: AP
------------------

So the vol and stocks are popping across the board in this industry (see also MCP). REE has traded over 33,000 contracts today in the first 2 hours on total daily average option volume of just 7,431. Calls have traded on a nearly 4:1 ratio to puts. The Stats Tab is included (below).



The Options Tab (below) illustrates the action in Jan. The Jan 14, 15 and 16 calls are mostly opening (compare OI to trade size).



The Skew Tab snap (below) illustrates the vols by strike by month.



A weird lookin' skew for sure. Jan has some upside skew, Feb doesn't. Finally, the Charts Tab is below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).



We can see the stock pop today. It is interesting to see the IV30™ just now rising passed the short-term and long-term realized vols. It looks like vol was a purchase yesterday... brilliant!

Possible Trades to Analyze
I don't know enough about this China decision to really make any trades, but here are some things I see, maybe you know more about it than I do:

1. The stock has shot passed it's 52 wk high (was $14.00), but the upside calls in Jan do look kinda pricey. The Jan 17.5 calls are $0.40 bid. The Jan 16 calls are $0.70 bid and the Jan 15 calls are $1.05 bid.
A buy write:
Buy 100 shares REE $14.33
Sell 1 Jan 15 call @ $1.05.

2. If you want to sell this rally, since the stock has moved $2.60 today, it feels like the 98 vol in the 12.5 puts might actually be cheap.
A put spread:
Buy the Jan 11/12.5 put spread for $0.45.

3. Calendar spreads are a possibility, especially the upside kind, Feb vol is below Jan and the skew bends the right way as of right now to sell Jan to fund Feb on the 16 line.

This is trade analysis, not a recommendation.

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H&R Block (HRB) - Credit Watch and Law Changes Pop Vol

HRB is trading $11.80, down 7.0% with IV30™ up 18.5%. The LIVEVOL™ Pro Summary is below.



I wrote about this stock for TheStreet today, so I can't discuss trades, but in a slow market, this is actually a pretty interesting read. Start with the news:

12-22-2010:
---------------------------
NEW YORK -- Standard & Poor's affirmed its ratings on tax preparer H&R Block Inc. on Wednesday but said its outlook on the company is "negative."
S&P also removed Block's ratings from CreditWatch Negative. The ratings had been placed there in October, after the company said it was taking legal action to force HSBC's U.S. finance arm to offer refund anticipation loans for the 2011 tax season.

The company's "BBB/A-2" counterparty credit rating falls into S&P's investment-grade category.

S&P said it removed the company from CreditWatch after Block said that it is still in negotiations and litigation with HSBC. S&P said it believes that being able to offer refund anticipation loans will help Block attract and retain tax-preparation clients and that if it can't offer them, its revenue will suffer. Block's management has described the potential impact as "significant."
Source: AP
---------------------------

12-27-2010 (today):
---------------------------
Tax prep company H&R Block announced on Friday that it had lost a contract with HSBC after a federal regulator told HSBC to stop offering refund anticipation loans. The Office of the Comptroller of the Currency prohibited HSBC (HBC) from offering the loans, which forced the bank to end its long-term contract providing loans to H&R Block (HRB) customers, H&R Block said in its release.
---------------------------

Yikes! Let's look to the Charts Tab (6 months) below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).





We can see the stock drops and vol pops on this related news. I've included the Options Tab below.



Interesting how the stock hasn't moved down quite as much as it might have seemed it would... It was in the mid $10's in Oct. Hmm...

This is trade analysis, not a recommendation.

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Suncor Energy (SU) - Vol Pop

SU is trading $37.28, down 1.9% with IV30™ up 11.8%. The LIVEVOL™ Pro Summary is below.



Suncor Energy Inc. (Suncor) is an integrated energy company. The Company explores for, acquires, develops, produces and markets crude oil and natural gas in Canada and internationally, and it transports and refines crude oil and market petroleum and petrochemical products primarily in Canada.

Random question, here... Why does an OIL company call itself "Sun"cor?... Just sayin'...

I found this stock using a custom scan I built searching for names where IV30™ is up at least 10% today. The scan details are below with a snapshot if you want to build it yourself in Livevol Pro.

Custom Scan Details
Stock Price >= 10
Average Option Volume >= 1,200
Days After Earnings >= 5 and <= 60
IV30™ Percent Change >= 10%
IV30™ >= 10

The goal here is find stocks more than $10, with a greater than 10% rise in IV30™ (short-term implied) that is not due to an earnings date, with enough option liquidity to trade.



The SU Charts Tab is included (below). The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).



IV30™: 28.50
HV20™: 22.82
HV180™: 34.17

We can see IV30™ is just now spiking up from its depressed levels. I actually don't know what the news is, unless it was some International Energy Agency (IEA) report.

The Skew Tab snap (below) illustrates the vols by strike by month.



I've highlighted the ATM strikes for Jan and Feb. We can see a little vol diff opening up between those months. We project earnings are due out in the Feb cycle, so that vol difference makes some sense.



Possible Trades to Analyze
1. Buy short-term vol:
Buy the Jan 37 straddle for $2.20.
That's ~28 vol and the stock has moved $0.71 today alone.

2. Buy earnings vol:
Buy the Feb 37 straddle for $3.58.
That's ~32 vol. Naked long earnings vol does feel a little icky.

3. A little fancier in the front:
Do #1 and then sell the Jan 34/40 strangle @ $0.41. This reduces the net debit to $1.79, but does limit the MaxGain to $1.21.

4. For you risk lovers:
Do #2
AND
Sell the Jan 34/40 strangle 2x @ $0.41.
This gets long earnings vol, sells a front month vol pop and pays $2.76.

This is trade analysis, not a recommendation.

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Agilent (A) - Low Vol and Earnings Bets

A is trading $41.14, up small. The LIVEVOL™ Pro Summary is below.



So, there's not a whole lot goin' on today, obviously. This will probably be the only post. I tried lookin' for something worth writing about, and is Agilent pretty decent in terms of vol analytics.

Let's start with the Charts Tab (6 months). The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).



Note a few things:
1. HV180™: 34.21
The long-term historical realized vol is pretty steady and slightly increasing.

2. HV20™: 23.22
The short-term historical realized vol has been well below the HV180™ for several months, but it increased as A stock has risen and more recently, decreased a bit.

3. IV30™: ~23
The short-term implied has steadily gone down since ~ mid Oct. The Jan ATM straddle is priced at ~23 vol.

4. A stock has gone from ~$27 in mid August to now over $41. More recently, the stock was ~$35.50 exactly one month ago.

Let's look to the Options Tab.



So the Jan 41 straddle is ~ $2.13 fair value and the Feb 41 straddle (with earnings) is ~ $3.55 fair value. For what it's worth, A popped about $2 two earnings cycles ago.

Possible Trades to Analyze
1. Get on the "long" bandwagon:
Buy the Jan 41 call for $1.15 (~23 vol).

2. Do #1, but add a little risk for some return:
Also sell the Jan 39 put @ $0.36 (~25 vol).

3. A little contrarian to the above. Maybe the vol is low for good reason, sell Jan and buy Feb earnings vol:
Sell the Jan 40/42 strangle @ $1.28.
Buy the Feb 41 straddle for $3.58.
Net debit is $2.30 to possibly own the earnings straddle into Feb.

4. For you risk lovers:
Do #3 but also sell the Feb 38/44 strangle @ $1.35.
This brings the net debit to $0.95. If all works out well in Jan (which it very well may not), the strategy owns the ATM earnings vol for a deep discount.

NB: Trades 2, 3 and 4 sell cheap downside. 2 and 4 are naked.

This is trade analysis, not a recommendation.

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Office Depot (ODP) - Calls Trade Again, OI Grows, Vol Erupts

ODP is trading $5.15, up 6.4% with IV30™ up 45.4%. The LIVEVOL™ Pro Summary is below.



This is the second post today dealing with heavy call action and exploding vol. You can read the prior post here:
Janus Capital (JNS) - Calls Trade, Vol Explodes

ODP has traded 13,834 contracts in the first 2.5 hours on total daily average option volume of just 2,207. Calls have traded more than 13,300x, yielding a 28.9:1 call:put ratio. The action is in the Jan 5.5, 6 and Feb 5 and 6 calls. The Stats Tab and Day's biggest trades snapshots are included (below).





The Options Tab (below) illustrates that the Feb calls and puts are opening (compare OI to trade size). The Jan calls are ambiguous. Note also the enormous OI in the Jan 5 calls.



As I see it, the order flow is this:
Jan 5 calls: Long OI
Jan 5.5 calls: Purchases Today
Jan 6 calls: Sales Today
Feb 5 calls: Purchases Today
Feb 6 calls: Purchases Today

So basically, a ton of long OTM calls in Jan and Feb are either long or purchased today with the exception of the Jan 6's.

Here's an interesting note from The Motley Fool:
-------------------------
The office is closed
Forget the disgrace of being kicked out of the S&P 500 -- office supplies retailer Office Depot (NYSE: ODP) is likely to be kicked to the curb permanently. Both it and rival OfficeMax had been subject to possible buyout rumors, as the economy has wreaked havoc with business purchases of paper clips, rubber bands, and correction fluid.

To get to a surprise $0.04-per-share profit last quarter, Office Depot had to slash overhead. That's a fine short-term remedy, but pressure from its biggest competitor, Staples (Nasdaq: SPLS), means it's going to need additional ways to hold the line on costs. That's not an easy, repeatable solution, particularly after its CEO resigned following violations of Regulation FD rules. Office Depot is a stock that will be left at the station.
Source: The Motely Fool
-------------------------

So either a buyout or a collapse basically. Hmmm...

The Skew Tab snap (below) illustrates the vols by strike by month.



There's a decidedly upside skew in ODP front month calls, less so, but still some in Feb.

Finally, the Charts Tab (6 months) is below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).



We can see the stock has been a lot lower, but not much higher in the last 6 months. The IV30™ explosion is on the bottom - pretty impressive.

Possible Trades to Analyze
1. Pure Spec on a Buyout:
Buy a Jan 5.5 or 6 call and hope for a buyout.

2. Skew Trading Intra-Month:
Buy the Jan 5.5/6 call spread for $0.15. Try to win more than 2:1 on a buyout but bet small. This purchases ~65 vol and sells ~ 68 vol.

3. Skew Trading on the Calendar:
The Feb 6 calls have traded 4,000+x for $0.15. Try this:
Buy the Jan/Feb 6 call spread and pay $0.10 (or even $0.05). Obviously if the takeover happens in Jan, that would be "bad." But if not, woo, a little $0.05 call in a takeover name sounds fun. Granted odds are small.

This is trade analysis, not a recommendation.

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Janus Capital (JNS) - Calls Trade, Vol Explodes

JNS closed at $12.73 yesterday, up 3.4% with IV30™ exploding up 47.8%. The LIVEVOL™ Pro Summary is below.



The company traded 7,970 contracts on total daily average option volume of just 374. Calls traded 7,478 times yielding a 15:1 call:put ratio. The action was in the Jan 13 calls which went up 5,745 times. The Stats Tab and Day's biggest trades snapshots are included (below).





The Options Tab (below) illustrates that the calls are mostly opening (compare OI to trade size). When looking down the entire option chain for JNS, I don't see any OI larger than 400, so the size of this trade is very large.



The Skew Tab snap (below) illustrates the vols by strike by month.



Very cool here, how the Jan 13 line spiked up but the Feb 13 line did not, nor did the Jan 14 line. This was a moment (or several minutes) of price discovery where a number of interesting trades were possible. But, if you look at the Options Tab, the Feb 13 vol spiked a I was taking screen shots - it's actually above the Jan 13 line... damn, missed that one.

Finally, the Charts Tab (6 months) is below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).



Just a note that we can see how depressed IV30™ was and how much it popped yesterday.

Possible Trades to Analyze
1. Well, the Jan/Feb 13 call spread would have been nice if we could have taken advantage of that 9 point vol difference (especially in retrospect given that the Feb 13 vol popped too). If this is still in play today, that's one trade to analyze.

2. The Jan 12/13 call spread seems reasonable:
Pay $0.70 for a $1.00 call spread and $0.73 in parity as of the close. Keep in mind though, the MaxGain:MaxLoss is less than 1 (0.43:1). This trade does sell ~ 47 vol and purchase ~ 43 vol, so a vol scalp in a call spread (which is unusual).

3. With earnings in the Feb cycle, any kind of spread that buys the meat and sells elevated OTM options seems reasonable to analyze. This is especially true since as of yesterday, Feb vol was ~ = to Jan vol since Jan went up 14+ points and Feb just 6. Hmm...

4. Do a calendar spread, sell Jan elevated vol and purchase Feb earnings vol at around the same level.

5. For the risky contrarian:
Sell the elevated vol in Jan naked.

This is trade analysis, not a recommendation.

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VIX - Future Value, Implied Combo, Skew Comps to Past

VIX spot is quoting $16.41, unched at time of writing with IV30™ down 6.8%. The LIVEVOL™ Pro Summary is below.



The 52 wk range on VIX is [15.23, 48.20], so the 16.41 level is obviously near the low. But, the futures are pointing consistently and substantially higher, AKA "Contango."

Let's look to the Options Tab with just the ATM for all months in VIX and back out the future values (we don't need no stinkin' futures).



Using put-call parity (assuming essentially 0 interest rates), here are the future implied values of VIX as well as a nice little chart.




So, in English, although the VIX is nearing it's year low as the year ends, out to May, the future fair value is in the 25 range. Yikes... Let's dig a little deeper and look at some skew charts. Below you can see:

1. VIX skew today
2. VIX skew a year ago
3. VIX skew two years ago







Here's what I see.

1. The spot values were quite different:
2010: 16.4
2009: 20.49
2008: 44.56

2. Check out the difference in the skew shape between today and two years ago. 2008 showed essentially a flat skew. Recall that this right after the VIX had been at 80. There is more relative upside risk compared to the ATM in the VIX reflected in the options now, than there was then.

3. Look at the upside skew spread between the monthly vols between 2010, 2009 and 2008. 2010 shows the the greatest relative vol difference month-to-month. That is, each monthly IV is lower than the next by a fairly large amount compared to the other time frames (in OTM calls).

One way to look at this could be simply: "Sell that upside skew in VIX a few weeks from expo each month as it elevates."

Potential Trades to Analyze
1. One trading strategy could be to buy the depressed May OTM calls and sell the front month, one at time for each of the next 5 months. This trade leaves a covered upside and potentially ends in May with an OTM call for a credit (paid for by the other months). This strategy implicitly believes that the VIX futures curve is too steep.

2. Another take: The downside puts are way too cheap, buy them. We can see that the 15 and 16 strike puts in VIX are in the $0.05 to $0.30 range depending on month and strike. It's a small bet to own those. If VIX goes back to 10 (ish), those are a huge winner.

3. Riskier: Sell the upside naked and bet on convergence downward of VIX spot to future value. The Feb 18 calls (as one example) are priced at ~$4.10 fair value. The Feb 24 calls are priced at ~ $1.75 fair value.

4. Even riskier:
If you want to bet the VIX goes to a specific price on a specific date (or expo), sell that straddle. For example, if you think VIX is going to sit on 20 (ish) by Jan expo, sell that straddle naked @ $3.60 and be safe in ($16.40, 23.60).

5. Contrarian:
If you think we're headed for a collapse, buy a VIX call spread.

This is trade analysis, not a recommendation.

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