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[ogm]

Remember June 06 ? We have a lot of puts sitting in the money right now. If the market will be unable to stabilize withing the next 2-3 trading days, there is a very good possibility that we'll see a massive delta hedging event into the OPEX. Crash and burn basicaly. In this case levels of fear will be incredible... VIX 40 and so on. I'll be buying heavily into such an event, because most likely it will be a wash out, and will scare central banks into more liquidity. I still don't think that with the summation so low and levels of fear so high its worth sitting on position shorts, beyond selling in the money calls. Considering that premiums are pretty good and time is on your side in this trade.

Edited by ogm, 09 August 2007 - 01:52 PM.