CBOE Volatility Index (.VIX) is off .56 to 17.76 and falling to its lowest levels since May 8 as the S&P 500 rallies 12.75 points to 1,357.53. Overall options volume is running about the typical levels. 2.3 million calls and 1.9 milllion puts traded across all the exchanges in the first hour. Trading in the VIX pit is busy ahead of the expiration. It’s the last day to trade June contracts before the settlement value is computed tomorrow morning. 185,000 calls and 146,000 puts traded on the index so far. Of that, about 195,000 contracts, or 59 percent, are front-month June contracts. Open interest in the June term is about 1.6 million calls and 1 milllion puts. Astonishingly, with VIX below 18, only 5,700 VIX June calls, or less than .4 percent of the total OI, are in-the-money heading into expiration. More than 80 percent of the puts are ITM and nearly 70% of the total Open Interest in VIX options are out-of-the-money. Yet, the fact that a lionshare of June upside calls are set to expire worthless, doesn’t seem to be deterring new positions in upside calls on the product. One of the top trades in VIX Tuesday is a July 30 – 40 call spread, bought for 52 cents, 20000X.
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.