CBOE Vix is near 42% this morning, as traders anticipate further daily market moves in excess of 3%. One institutional trader sold a diagonal call spread in VIX that likely takes some profits off the table and maintains a long VIX position for through November expiry. The trade involved a sale of 10,000 Oct 30 calls and purchase of Nov 32.5s for a net credit of 1.65. There are currently more than 830,000 VIX calls outstanding, including 105,000 Oct 25s and 86,000 Oct 30s. This trade suggests the long vix call position paid off well as vix has doubled in the last month, and a continued desire to retain the long the exposure to volatility. VIX October options expire on Wednesday, October 22. The Novembers expire on Wednesday, November 19.
Category: All Indexes
About the Author (Author Profile)
Henry Schwartz is the president of Trade Alert LLC, a provider of real-time options analysis tools to leading Wall Street firms. His systems analyze hundreds of thousands of transactions per second to help professionals identify and interpret market activity in real time, supporting informed trading decisions and intelligent idea generation. He has held institutional trading and management roles with Bank of America, Bear Stearns, Salomon Brothers and the Hull Group, and made markets on the CBOE and AMEX floors in the US, and EUREX and MONEP overseas. Prior to founding Trade Alert, he led the electronic market-making group at Bank of America coincident with the launch of the International Securities Exchange. He received his bachelor’s degree in Economics from the University of California, San Diego and his MBA from NYU’s Stern School of Business.