CBOE Volatility Index (.VIX) $18.53 -1.01%

| July 11, 2012 | 0 Comments More

CBOE Volatility Index (.VIX) is off .34 to 18.38, as the S&P 500 is unchanged at 1341.50 Wednesday morning. The volatility index is up 8 percent month-to-date and ticking higher in recent days as investors brace for the floodgates to open on second quarter earnings beginning next week. Volumes have been light in recent days, however. For instance, only 74,000 calls and 23,000 puts traded in the VIX pit so far today. 40 percent of the call volume is due to one spread trade, in which the investor apparently sold 14,800 July 26 calls on VIX at 16 cents and bought 14,800 August 26 calls for $1.32. The Jul – Aug 26 call spread, for a $1.16 debit, might be a bet that VIX will see limited upside through the July expiration (6 days), but then potentially spike before the August expiry (41 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.