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.