Question: Assume that the Volatility of Volatility (VoV) is currently very low (as can be observed by the small daily movements in VIX) and the market prices of options reflect this VoV. You believe that in the next two months it will stay the same (VoV will continue to be low). To take advantage of your belief you should implement the following strategy
a) sell a 2 month put option on VIX
b) buy a 2 month Put option on VIX
c) Sell a 2 month call option on VIX
d) Buy a Straddle on SPX
e) Do nothing