Jeremy Attali from Captstone Investment Advisors, David Liebowitz from Aroya Capital, and Ramon Verastegui from Societe Generale divided up duties in a discussion at CBOE’s Risk Management Conference titled, “Focus on VIX Options”.  This session focused on a the evolution of VIX options as a speculative and risk management tool, discussed strategies for insurance, yield, or just having a particular market outlook, and what makes VIX options unique and how to deal with the special properties of VIX options.  

This session could fill a textbook with information on trading VIX options, but this space only allows highlights.  The unique pricing structure of VIX options was discussed along with how a trader needs to be prepared to sell a long volatility position just when it is most difficult to do so (when volatility is spiking).  The reversion to a mean behavior of VIX and VIX futures has been occurring more rapidly than it has in the past so trader need to be even more tactical when taking off long volatility trades. 

There was also discussion around the current low volatility environment as indicated by the level of VIX this year.  The possible reasons given include SPX Weeklys allowing investors the ability to be more tactical around hedging decisions and that volatility premium harvesting trades have become very popular, even in a low volatility environment.