“There’s a saying on the options floor, that you buy low volatility and sell high volatility, but when it gets very high, you buy it,” he says. “High volatility, you sell, but extremely high volatility is telling you something, and markets tend not to price in that kind of move.”
-Steven Gross, a principal at Penso Capital Markets LLC
Excellent observation. . .
Making A Bundle Shorting Financials
WSJ, March 17, 2008, 11:52 am