The key to the following strategy is understanding that high volatility typically follows low volatility, and vice versa. In his book, Option Volatility & Pricing (McGraw-Hill, 1994), Sheldon Natenberg writes that volatility is "mean reverting," while this is not necessarily true of price. Essentially, this means that, after moving to a high or low extreme, volatility will tend to move back in the opposite direction. This mean-reverting tendency is the key to capitalizing on volatility.