CBOE Volatility Index (.VIX) ticks .24 points higher to 18.70 and is now drifting below this morning’s settlement value of 19.06, which was up substantially from the 14.55 seen at the March expiration. Meanwhile, 116,000 calls and 20,000 puts traded on the index. One player bought May 25 and 30 calls, paying $2 for the call “stupid” spread, 19000X, according to a source near the pit. Separately, a May – Jun 25 call spread traded on the VIX at $1.28, 20000X, and is possibly rolling or closing activity. Or, the spread is opening and reflects the view that VIX is likely to settle for less than 25 at the May expiration (27 days), but for more than 25 through the June expiration (62 days).
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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.