Volatility Arbitrage (ARB)

[dr_praeses]

VIX futures:

VIX/G8 (VOLATILITY INDEX 2/08) 26.16 -0.59
VIX/H8 (VOLATILITY INDEX 3/08) 25.15 -0.65
VIX/J8 (VOLATILITY INDEX 4/08) 25.42 -0.32
VIX/K8 (VOLATILITY INDEX 5/08) 25.05 -0.58

{spot} VIX (CBOE MARKET VOLATILITY) 27.78 -1.30

VIX still trading @ a discount for the future assuming less fear than is currently the case. What we'll happen to these prices if we retest the lows? that is the question in my mind as we approach the Fed mtg.

Bought 2 VIX Feb 08 25c's today out flat 1 @ 2.75 1 @ 2.60 both in the afternoon. Orders to flip @ 3.50 / 4.00 / 5.00 contigent upon the time {4.00 up to Fed decision time, 5.00 after}

Think the market might not like the cut as much as ppl assume. And vol is getting a little cheap relative to past prices...