Amid the recent market turmoil, some traders are looking to protect their portfolio. But that task has become increasingly difficult as the VIX, which measures prices for puts and calls on the S&P 500 has become more expensive. However, one trader appears to have found one way to buy protection at a low costs.
"I actually think the S&P 500 could be down 20 percent from the high we made a couple of months ago," options strategist Dan Nathan said Friday on CNBC's "Options Action." The S&P 500 is currently more than 8 percent from its high of 2,134.72 hit in late May.
"It's very difficult to just buy put options, we want to go out and sell something against it to mitigate the high volatility," said Nathan, founder of RiskReversal.com. The VIX is currently trading near 26.