CBOE Volatility Index (.VIX) $21.15 +1.29%

| October 29, 2010 | 0 Comments More

CBOE Volatility Index (.VIX) is up 33 cents to 21.21 and recording its fifth consecutive gain ahead of next week’s event risk — FOMC meeting, mid-term elections, retail sales, and monthly jobs data. VIX is up 12.9 percent on the week. A noteworthy trade in the options today is a Nov 24 – Dec 22.5 put spread, apparently sold at $1.30, 51300X. Looks like they sold November and bought December, perhaps rolling a position out an additional month. VIX November options expire in 18 days. Today’s action also includes a buyer of 10000 March 20 puts at 55 cents and, separately, a buyer of 10000 April 20 puts at 57.5 cents. A Nov 19 – 20 put spread was bought 5000X at 32.5 cents. 147K puts and 76K calls traded on the volatility index so far. So, while the index is on a five-day winning streak, some players in the options market seem to believe that the VIX will stay tame in the weeks/months ahead.

Category: All Indexes

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Frederic Ruffy is a well-known trader, writer, and strategist who has spent years educating investors and creating intelligent, insightful, unbiased market observations that are frequently cited by the Wall Street Journal and other financial publications. As senior analyst, Fred provides frequent and regular notes and daily updates for activity of interest.