I'm positioning myself, just like everyone else is these days, for a major sell-off in October. To me, this is not the time to go swimming in the ocean. This is time to buy plywood for the windows. I'm not sure how the season will unfold, but someone is going to lose their roof.
Yesterday, I went long the OEX 460 put calendar for SEP/OCT. This cost me $6.25. As you know, when you are "long" option spreads or calls or puts, you have defined up-front how much you can lose. It's whatever you paid.
I've considered buying ITM VIX calls as a proxy for being long VIX, but the VIX futures, which price the VIX options, are trading at 3-4 points above spot. It's better to buy the present volatility, which is implicitly embedded in SPX or OEX options. After all, VIX is the volatility of SPX options.
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