VIX is off .13 to 15.09 and trading in the options on the index is busy on expiration Wednesday. The settlement value for the October contract is 15.96, which is above the index’s highs of the day (15.63) and considerably (13.8 percent) above the Sept settlement of 14.03. Total open interest in the VIX October options was 3.42 million contracts heading into the expiration and, of that, 2.45 million contracts (71.6% of the total) are out-of-the-money call options. Now, some of the focus is turning to the November contracts. Morning trades include a Nov 21 – 25 call “stupid” spread, in which both legs of the spread were bought 21000X. The calls are tied to a position in the futures on the index and is a strategy repeated every term, according to a source on the exchange floor. Meanwhile, deep out-of-the-money [DOOM] November 55 calls are the most actives in the VIX pit today. One player paid a nickel per contract for 34,000. More than 52,000 traded. Note that 136,500 Oct 60 calls expired worthless today and so today’s activity in the Nov 55 calls is possibly a roll of a longer-term hedge — i.e. tail risk trade. Total volume in the product so far is 254K calls and 66K puts.
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.