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What Just Happened?

VIX rose 32% today (7/17). Impressive.

First there was the plane, then there were the tanks. I bought VXX puts on the first spike, and sold for about 25% gain. I again bought VXX puts on the second spike, and got creamed.

So I bought more, and now at the end of the day I am flat.

What just happened?

Well, this was a 5-sigma event. In the history of the VIX, there has been 13 days where VIX went up 32% or more. 13 days. Out of some close to 25 years of trading for the VIX. Odds of 0.2%.

In 9 of these days, next day VIX fell sharply by average of ~15%. In another 3 days, VIX was up by a max of ~1%.

But yes, there has be one case where vix rose 30 some percentage points in one day, and another 20 some percentage points the next day. That is 1 in 6500. Some odds.

So I am boldly predicting that tmrw 7/18 VIX will fall by 10-15%, VXX by 2-3%, and my puts will go up by 50-60%.

I feel bad to profit from human misery. But there it is.

Best of luck everyone for tmrw.