All Indexes

CBOE Volatility Index ($VIX) $22.10 +4.05%

Surging put volume in the first hour. 4.10 million contracts have traded across the exchanges, which compares to 2.5 million contracts of call activity. The total put-to-call ratio is therefore at an exteme of 1.6 after finishing Friday at 1.14. Including today, the total PC ratio has been greater than 1.0 in nine of the [...]

October 13, 2014 | 0 Comments More

CBOE Volatility Index (.VIX) $12.05 +0.17%

Massive spread in CBOE VIX calls rolls position opened a month ago. Initiator paid 6cents for the Nov 20 – Oct 16 call spread (buying Novembers) 178,000x. Nov 20s open and Oct 16s appear to close a trade from Aug 19 when a trader sold the Oct 16 Jan 20 call spread in similar size [...]

September 19, 2014 | 0 Comments More

CBOE Volatility Index (.VIX) $12.91 -8.57%

Heavy trading in the VIX pit as the index drops 8.6% to 12.92 on the last day to trade Sept options. 648,000 calls and 356,000 puts traded on the “fear gauge”, with nearly half (47%) of the flow in the expiring September term. Sep 13 puts and 15 calls are the most actives. The August [...]

September 16, 2014 | 0 Comments More

CBOE Volatility Index (.VIX) $13.92 +8.75%

VIX Oct 22 calls are today’s most active options contract. One player was paying 42.5 and 45 cents for large blocks this morning. A total of 138,606 traded on the day against 121,800 in open interest. There’s a lot of open interest in upside VIX Sep calls that expire in four days, including nearly 300,000 [...]

September 12, 2014 | 0 Comments More

.RUT Index (.RUT) $1152.90 -1.13%

Put spread in the Russell 2000 Index. RUT is down 12.7 points to 1152.40 and the Sep 1090 – 1100 ps on the index is sold at 15 cents, 26415X. The opening position is expressing the view that the Russell is unlikely to drop by more than 52.4 points, or 4.5%, to less than 1,100 [...]

September 12, 2014 | 0 Comments More

CBOE Volatility Index (.VIX) $12.11 +0.50%

Overall, very light volumes again today. Average daily volume this week has less than 12 million contracts and well below the one-month average of 15.3 million. VIX volume is less than 200K today and trading has been quiet in the VIX pit through out the week, with the index pinned near 12. However, over the [...]

August 29, 2014 | 0 Comments More

CBOE Volatility Index (.VIX) $12.16 -0.41%

VIX is off .10 to 12.11 and seeing repeat spread trading. The Oct 16 – Jan 20 call spread on the volatility index trades at 20 cents, 31600X. The same thing was opened 140000X yesterday (see 8/19 color).

August 20, 2014 | 0 Comments More

CBOE Volatility Index (.VIX) $11.99 -2.68%

Active trading in the VIX pit on the last day to trade August options on the index. 592,000 calls and 212,000 puts so far. The top trades are not in the August term, however, as an investor sold the Oct 16 – Jan 20 call spread on the volatility index at 27 cents, 147000X (sold [...]

August 19, 2014 | 0 Comments More

CBOE Volatility Index (.VIX) $13.82 -12.37%

A couple of big call spreads in the VIX pit. With the index down 1.92 to 13.85, the VIX Nov 21 – 30 call spread trades at 76 cenbts, 29000X, and might a seller closing a position. 8 minutes later, a Dec 21 – 29 cs on the volatility index trades for 80 cents, 40000X. [...]

August 11, 2014 | 0 Comments More

CBOE Volatility Index (.VIX) $14.13 -10.40%

VIX down 1.67 points to 14.10 and near session lows. The index has lost more than 10% with the S&P 500 up 8.88 points to 1940.47. If the pattern continues into the close, today would be the first time VIX falls more than 10% with the S&P 500 up less than .5% (first time since [...]

August 11, 2014 | 0 Comments More
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