CBOE Volatility Index (.VIX) is up .24 to 17.82 and seeing only a modest uptick this morning despite a 20-point drop in the S&P 500, as short-term SPX IV had moved up sharply prior to election Tuesday. A large market move Wednesday might have already been “priced-in”. In the VIX pit, one player seems to see limited upside for the volatility index over the next two weeks and sold 10,000 Nov 19 – 23 call spreads on the index to buy Nov 16 puts, paying a nickel, 10000X. November options on VIX expire two weeks from today, the Wednesday after the standard expiration.
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.