The simplest form for me would be to buy a straddle, fly or condor. Too many of those and I feel like I'm flipping coins. However, I do like to trade with vol behind my back. Perhaps, I'll do a ratio spread starting next year to maintain some positive delta as I trim my more passive investments. So, while not a pure vol trade, you do experience maximal loss early in the life of the spread from a drop in vol. Not a big potential for that right now. I sure would like to hear some sophisticated strategies from you guys. No secret sauce, Ofc.
buy an otm call spread in spx, and then buy a longer dated put, in some ratio... umm buy vix calls.... dealing with strike risk in options is tough.. at some point you are just either short the market, or in other words long volatility, or your are long the market and short volatility..
Bet that VIX is 15 or over by April expiration: http://finance.yahoo.com/q/bc?s=^VIX+Basic+Chart&t=5d With VIX at 13.10 Buy Apr 13 call and sell Apr 15 call for a net debit of $160 Price............P/L 10............($160) 13.30........($130) 14.60............0 15.00..........$40 16.00..........$40 17.00..........$40 Yield above 15 = 40/160 = 25% Yield below 13 = -100% Couldn't be simpler.