VIX Feb 19 puts are the most actives in the first hour of trading. 64,927 traded, driven by a block of 32,000 for 40 cents per contract. More than 60,000 Feb 19 puts were bought on VIX this morning to open. The volatility index dipped below 20 yesterday for the first time since July and is down .31 to 19.56 today amid falling levels of actual volatility. The S&P 500 scored a 1.5 percent gain on the opening trading day of 2012, but has since failed to register a daily move in excess of .9 percent. The grind higher continues and the 30-day Historical Volatility of the S&P has fallen to 14.3 percent, compared to a 120-day of 30.9 percent. Today’s Feb 19 put buyer is possibly looking for the low volatility to continue over the next 4 weeks and the hefty premium purchase stands in contrast to the big trades in VIX yesterday — when a VIX Mar 22 – Feb 28 strangle was bought for $4.85, 68000X to open.
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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.