re: Trading volatility VIX

It's different all the time. I look at a chart VIX/SPX, or some other broader market index. Sometime TMWX. Currently the energy sector, because I'm overweight there. I try to draw a conclusion from this about what the insurance benefit would be at certain market levels.

Mostly I buy at least 6% higher than the 2 front month's futures contracts. Never more than 45 days. It's less expensive that way. But not all the time. Sometimes I end up with deep in the money calls, and sometimes I end up overpaying, and view this like fire insurance premiums paid, and not used.

The pricing and the tangible insurance result are more an art than science. Black Scholes is mostly worthless. There are months I insure only a percentage of my portfolio to a certain percentage. Currently I'm insuring energy and indexes. 50% of the portfolio's value, for a 25% drop. So in layman's terms, a very high deductible, a large self insured retention.

There's a ton of this stuff on the web, from some very smart people. I've never found an online calculator for it however. If you find one of these, please let me know.