Reviewing 2012 and beyond trades - vol markets already moving problems into the far future

Reviewing 2012 and beyond trades - vol markets already moving problems into the far future

The last few vol moves show an interesting jump in the back end.  Have a look at the 3m,6m, 9m 12m data points with the recent market sell off vs 1M.  We see the curve slope change (steepen).  However, we also see the concerns pushed forward (back end vol very high)

The market is pricing back-end vol very high and we believe the best trades to take advantage of this is to trade the SPY March 30 120/110/100 Put fly and SPY Dec 2013 125/100 1*2 put spread.  If the market rallies, you will get paid well on the 2013 trade and a short term down move in the first quarter of the year, you can take in a possible 10X payoff

Both trades links are here.

SPY March 30 2012
SPY Dec 2013