You are currently holding a portfolio of short 1,000 put options and long 1,000 call options. The options are European and have the same exercise price and the same expiration day. Each option is on one share of the S&P 500 index.

All else being equal, what would you like to happen to the index volatility?

1. Decrease.
2. Increase.
3. Stay constant.
4. You are indifferent.