Trading in CBOE Volatility Index (.VIX) is relatively light today after the February options expired Wedneday. The settlement value for the index is 20.44; which is down from the 23.64 at the Jan expiration, but significantly higher than the 30-day statistical volatility of the S&P — which has fallen to just 8.8 percent. Meanwhile, 130,000 calls and 48,000 puts traded on the index. About a third of the call volume is due to one spread trade, in which the investor bought 20,000 March 29 calls on the index and also bought 20,000 March 35 calls on the volatility index, paying $2.75 for the call “stupid” spread and possibly extending a volatility play on the heels of the expiration. Heading into the expiration, VIX Feb calls had about 1.46 million contracts of open interest. 80,750, or 5.5 percent, were in-the-money. Feb 35, 30 and 55 calls were the largest positions and had combined OI of almost a half million contracts.
Category: All Indexes
About the Author (Author Profile)
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.