VIX is off .65 to 13.64, hit a low of 13.32, and is making a move below its March 16 intraday low of 13.66. The volatility index is falling to its lowest levels in over five years, as the S&P 500 trades in a very narrow three-point range on expiration Friday. Trading in the VIX pit is relatively active, with 195K calls and 92K puts traded so far. Sep 28 and 23 calls are the most actives, as some players might be anticipating a rebound in the index before the Sept expiration. 30 percent of the flow, or 86K contracts, is in the August options that expire in 4 days. With the index falling below 14, there’s a boatload of upside calls that will expire worthless at these levels. Total open interest in VIX Aug calls is more than 2 million and less than 30,000 (1.3% of the OI) have strikes less than 14. 30, 40 and 25 strikes are the largest open interest positions in VIX August options — with combined OI of almost a half million contracts.
Category: All Indexes
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.