CBOE Volatility Index (.VIX) is up 1.40 to 25.99 and running to session highs after data released at 10:00 ET showed the Philli Fed manufacturing index falling to -7.7 in August, down from 5.1 in July and much worse than the 7.5 that economists had predicted. A separate report the List of Leading Indicators up .1 percent in July, and half as much as expected. VIX is rallying on the poor numbers and one player initiates a bullish Sep 25 – 32.5 – 42.5 call fly on the volatility index, paying $1.90, 6500X. The spread was tied to VIX futures on a 15 delta, according to a source on the floor.