Mega Call Spreads on CBOE Volatility Index (.VIX)

| January 11, 2013 | 0 Comments More

CBOE VIX call volume 3x normal this morning, led by a massive buy of 70000 March 25-35 call spreads for 59cents a moment ago. The exchange floor is saying a buyer is looking for more offers, and the call spread trading on the inex continues a trend that appears to show portfolio managers taking advantage of the multi-year lows in VIX by loading up on upside calls. Since Jan 1 nearly 3.29 million VIX calls have traded and total VIX call open interest has lifted by 1.5 million calls to 5.72 million contracts while put volume of just below 2 million contracts added nearly 570K in OI.

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Category: All Indexes

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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.