February VIX options expired today. The settlement price (ticker VRO/$VRO/^VRO) was 22.50. The VIX index opened at 22.25. With this settlement price I ended up losing .35 per call on my VIX spread. Things could have been much worse–I could have lost up to 2.85 with the spread. I certainly didn’t expect the VIX to stay up at the levels it has. People always seem surprised at how fast things drop in a correction, that coupled with the recent savage bear market, and the uncertainty in the EU, has people spooked. The 6 month pattern of VIX dropping rapidly after upticks was broken with this sequence. I’m reminded of the quote, “everything works sometimes but nothing works all the time”.
![VIX17Feb10 6 Months VIX index, Click to enlarge](https://www.sixfigureinvesting.com/wp-content/uploads/2010/02/VIX17Feb10-300x141.jpg)
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