Bidding up the Weekend
Greece once again takes center stage as the EU and ECB get fed up with non-compliance out of their Mediterranean neighbor. The huge rallies one day are replaced with the disappointment the next locally. For the first time in a while VIX is going up into the weekend. While Greece is a drop in the bucket in the global picture GDP-wise, it still has broader implications for the Euro and stability. The equity market hates political instability.
The reality is that IV is up only a bit. Every rally is met with a selloff until Jun 30th when Greece defaults or not. Until then the best play has been to buy dips in volatility.
The best method for this would be buying just OTM put time spreads in the SPY that sell Jun 26 Weeklys. If history is any guide, we will move a bit but nothing will come of it until the following week.
Read more from Andrew at Option Pit