following post. The volatility did come in a big way but I hardly knew how to handle it.

http://murico.com/muricocgi/bbs62x/newforum.pl?md=read;id=241

Relative to the V/Z spread, I have been a little reluctant to trade it very much but have flipped a few of the spreads. On average over the past 11 years it has settled to cash at +2.681. Historically there has been a trendency for the spread to move up in the time interval between the expiration of the QQQs and the spread going to cash settlement in October.

Since the arrival of the PED problem, there has been a fairly strong tendency for the front month of spreads to move up more than
the second month. It is difficult to envision the V/Z spread moving much higher than the 10.95 where it settled last night although it did punch through 15.00 in June.

The highest it has ever been on expiration in the last eleven years was 6.96 in 2004. We are definitely in record setting territory this year. I wouldn't hesitate to sell the spread but really would not want to buy it at this level.

Best wishes,

dhm