John At The Center

…the large run up of the premium can be attributed to BEP returns overreacting to positive S&P 500 returns, adjusted for the deltas and gammas of the options that the fund was short. The paper then provides evidence consistent with the possibility that the large premium increase was driven by a near doubling of the VIX from very low and stable levels that had persisted for several months, which may have led unsophisticated market participants to bid up the price of BEP shares without regard to their underlying NAVs.

http://adamsoptions.blogspot.com/2008/11/bep-avenue-freezeout.html