CBOE Volatility Index (.VIX) is off .09 to 16.05 and Nov 42.5, Nov 45, and Nove 47.5 deep out-of-the-money calls on the “fear gauge” have all traded more than 10K contracts. It might be rolling out of October options. Oct 20 calls are the most actives in the VIX pit today, with 11,900 traded. October options on the volatility index expire Wednesday and last day to trade is tomorrow. There’s 976K of open interest in the VIX October puts and 2.5 million in the Oct calls. Nearly 2.4 million contracts of the Oct calls are out-of-the-money. (Keep in mind, however, that VIX options are based on forward values on the index and are not officially ITM or OTM until the settlement value is computed Wednesday morning. Still, at 16, there’s a boatload of VIX calls due to expire worthless Wednesday morning.)
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.