CBOE VIX is up 5% and set a new YTD high today and call volume has exceeded 200,000 contracts, 76% above normal as a large butterfly printed about an hour ago. A buyer paid 32cents for the June 40-50-60 call fly 10000x, an outlay of 320K with a potential value of $10Million if VIX were to settle at exactly 50 in 48days. VIX hasn’t seen 50 since 2009 and would suggest a very bleak scenario. The alternative view was seen as well, with a seller of 20K June 35 calls for 1.05 when Vix Futures were near 26.10. Those might close positions opened ealier this month in the 1.50 price range.
Category: All Indexes
About the Author (Author Profile)
Henry Schwartz is the president of Trade Alert LLC, a provider of real-time options analysis tools to leading Wall Street firms. His systems analyze hundreds of thousands of transactions per second to help professionals identify and interpret market activity in real time, supporting informed trading decisions and intelligent idea generation. He has held institutional trading and management roles with Bank of America, Bear Stearns, Salomon Brothers and the Hull Group, and made markets on the CBOE and AMEX floors in the US, and EUREX and MONEP overseas. Prior to founding Trade Alert, he led the electronic market-making group at Bank of America coincident with the launch of the International Securities Exchange. He received his bachelor’s degree in Economics from the University of California, San Diego and his MBA from NYU’s Stern School of Business.