Recap for the week.....
Back on Jan 16th, Vix and More noted the following:
Options expiration week.... is the only week where the VIX has traditionally made a significant move down, probably a case of reality falling short of the expectations that some associate with -- and plan for -- on triple and quadruple witching expiration weeks. On average, options expiration week has the VIX falling 2.7%, compared with an average rise of 1.4% on non-expiration weeks. The VIX is significantly more likely to fall 15% or more on this week than on any other week. Correspondingly, this is the week in which the VIX is least likely -- at least in terms of historical data -- to spike to the upside.
The correlation has proven to be dramatically true this expiration week. For those of us who pursue a defensive hedged approach to the markets at these lofty levels a lot of potential profit is left on the table in exchange for risk mitigation. As the traditional summer doldrum months approach it remains to be seen if these record levels can be sustained, but for the near term I will continue with my hedged strategy and rely on Qs options daytrading to augment my primary premium decay revenue stream..