February VIX options expired today. The settlement price (ticker VRO/$VRO/^VRO) was 22.50. The VIX index opened at 22.25. With this settlement price I ended up losing .35 per call on my VIX spread. Things could have been much worse–I could have lost up to 2.85 with the spread. I certainly didn’t expect the VIX to stay up at the levels it has. People always seem surprised at how fast things drop in a correction, that coupled with the recent savage bear market, and the uncertainty in the EU, has people spooked. The 6 month pattern of VIX dropping rapidly after upticks was broken with this sequence. I’m reminded of the quote, “everything works sometimes but nothing works all the time”.
February VIX options expire — fear takes a bite
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