All Indexes

.RUT Index (.RUT) $1181.60 -0.08%

Big spread in the small cap index. The Russell is down 1.5 to 1181 and it looks like an investor is opening an Aug 1115 – 1165 put spread on the index for $12.10, 3500X. If bought, the spread offers a potential payout of $37.9 ($13.3 mln) if the index drops to 1115 or below [...]

June 23, 2014 | 0 Comments More

CBOE Volatility Index (.VIX) $10.46 -1.51%

July call spreads on VIX. The index is flat at 10.64 and near 7-year lows, as the S&P 500 sees another quiet open and trades up 2 just points. 30-day historical volatility of the S&P 500 has plummeted to 52-week lows of only 5.5%. On the options front, a Jul 14 – 16 call spread [...]

June 20, 2014 | 0 Comments More

CBOE Volatility Index (.VIX) $11.85 -1.74%

Relatively active trading in VIX options Wednesday. The index hit a morning low of 11.63 and is now down .19 to 11.87 after the S&P surrendered morning gains and dropped 2 points heading into midday. 262,000 calls and 122,000 puts traded in the VIX pit. The ten most actives and 88% of the flow is [...]

June 18, 2014 | 0 Comments More

CBOE Volatility Index (.VIX) $12.06 -3.98%

Busy day in the VIX pit. The index waffled back towards 12 through midday after the S&P 500 added 4.63 points to 1934.74. Focus turns to the FOMC and Quadruple Witch expiration next week. VIX June options are expiring in four days and have traded 285K contracts, which is 43% of the overall flow in [...]

June 13, 2014 | 0 Comments More

.RUT Index (.RUT) $1155.45 -0.48%

Big prints in the Russell. The small cap index is down 6.7 points to 1154.30 and the Weekly (7/3) 1040 – 1060 put spread on RUT is sold at 42.5 cents, 90000X. The new position is probably being sold on the view the Russell 2000 isn’t likely to fall below 1060 before the July 4th [...]

June 12, 2014 | 0 Comments More

CBOE Volatility Index (.VIX) $11.31 +2.91%

Upside call activity in VIX. The index is up .33 to 11.32 and seeing minimal reaction to the 5.4-point dip in the S&P 500 Wednesday. One player bought a 25000-lot of Nov 25 calls on the volatility index this morning for 77 cents per contract, to open (tied on a .22 delta). Meanwhile, spread trading [...]

June 11, 2014 | 0 Comments More

CBOE Volatility Index (.VIX) $11.81 -2.24%

Vix option volume surpasses 1.2Million contracts on massive 3way. Initiator bought 144K July 13-16 risk reversals (buying call/selling put, opening on both) for a 19cent debit and sold 288K July 20 calls for 27c to open, and also sold 144K Sep 20 calls for 94cents. Recall last month the ‘supercondor’ traded at the 20 strike [...]

June 5, 2014 | 0 Comments More

CBOE Volatility Index (.VIX) $12.36 -4.63%

Busy day for VIX options. The May settlement print (VRO) was just 12.27 and the falling below the 2014 low of 12.36 from January. It is the lowest settlement for VIX options since April 2007. Players are now opening new positions to replace some of the more than 3.3 million May calls that have expired [...]

May 21, 2014 | 0 Comments More

S&P 500 Index (.SPX) $1871.58 -0.72%

Noteworthy spread in the S&P 500 pit. The index is down 11.36 to 1,873.72 and near session lows. Overall SPX volumes remain light, with 348,000 contracts traded so far and 80% the normal levels. One block of 13,325 July 1870 puts for $35.60 stands out amid the light volumes. The hefty block of puts is [...]

May 20, 2014 | 0 Comments More

CBOE Volatility Index (.VIX) $12.85 +3.46%

Spread trading in the CBOE Volatility Index. VIX is up .43 to 12.85 after the S&P 500 shed 5 points early Tuesday. The June 16 – 20 call spread trades on the volatilty index for 37 cents, 8000X. Looks like the spread is being bought 20000X so far and maybe replacing something in May options [...]

May 20, 2014 | 0 Comments More
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