As widely reported, CBOE VIX option volume set a new all-time record yesterday with 1.22Million contracts trading- actually surpassing the day’s SPX index volume- the options the underlie the vix index cash calculation! Total OI pooped by 242K calls and 160K puts, and the largest trade of the day, the 120,000 lot Nov 18 dec 24 strangle was net opening while the Oct 26 calls did close. OCC clearing data shows customer account was most of the volume, and an informed source says Deutsche was the executing broker.
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.