The euphoria of Thursday is now over.

The rally we had on concessions from Greece now give way to the fact that the Syriza party is running for its next election realizing it cannot deliver on any promises besides sending Greece into the economic stone age. Volatility traders love this because it is, well, some volatility to trade. Volatility wants to move, but only at the pace of a 3 legged race. The will to move out is not there yet.

Thursday showed us the oversold lows now the question is to structure around it. Without the Greece silliness we are a 12 VIX market but with it we can see 20 VIX in two quick sessions. In the meantime there is really just a range. Stocks selloff a bit but we are not moving 2% a day either. That gives us a straightforward type of trade.

VIX

LivevolX (r) www.livevol.com

Default day for Greece is the end of June but today is really the first day the IV in the options started to move. Even from here it is very low levels. Buying volatility juice makes the most sense now so the trick is to aim it the right way.

The lesson

Get worried about a big move in volatility once the vol of vol starts to move. It did a bit today even when you take the low Vega Jun VIX options out of the picture.

The trade

Game the term structure by buying a Jun24 Weekly just OTM call in VXX and a Jul 2 or Jul 10 ATM put in VXX. Make sure the trade looks profitable if the premium erodes with VXX around 17.25 on the 4th of July. I like the volatility ETN’s better for this and it is possible to create this position for near 0 theta. Check out Option Pit Live tomorrow to see how to do it.