CBOE Volatility Index (.VIX) $16.36 -4.38%

| July 17, 2012 | 0 Comments More

Eight of the ten most active index options so far today are VIX contracts. The three most actives are Aug 24, 22, and 28 calls on the index. VIX is down .82 to 16.29 and testing recent range lows. Some investors are probably opening new positions in upside August calls as a boatload of July options on the VIX are set to expire worthless. Today is the last day to trade before the settlement value is computed tomorrow morning. As of this morning, total open interest in VIX July options is 2.41 million contracts and strikes range from 10 to 100. Of that, 1.64 million, or 68 percent of the total, are on the call side of the options chain. However, only 6,817 contracts, or .4 percent of the total open interest in VIX July calls, have strikes of 16 or less and would be in-the-money tomorrow if VIX settles at current levels. Open interest in the puts is 773K with about 82 percent with strikes of 16 or greater (in-the-money). In sum, judging by today’s OI (which will obviously change after today), about 75 percent of the open interest in VIX options will expire worthless if the index settles at current levels or between 16 and 17 tomorrow.

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Category: All Indexes

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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.