Volatility surged to a four-month high this week as the Greece debt crisis weighed on investors. And even as the market found its footing on Tuesday, some traders are still betting that fear is here to stay.
On Monday, when the S&P 500 saw its worst one-day selloff of the year, volume in the CBOE Volatility Index, commonly referred to as the VIX, ran two times its daily average. And one trader bet nearly $1 million that the VIX would stay above current levels through for at least the next couple of weeks. Specifically, that trader purchased 16,000 of the July 18/22 call spreads for 60 cents each. Since each options accounts for 100 shares, in this particular strategy the trader spent $960,000 that the VIX, or "fear index," will remain above $18.60 through July expiration. In early Tuesday trading, the VIX was at $18.29.