CBOE Volatility Index (.VIX) $16.58 +4.47%

| December 3, 2012 | 0 Comments More

CBOE Volatility Index (VIX) is up .71 to 16.58 and one player in the options market sells Jan $14 puts on VIX to buy the Jan 25 – 30 call spread, 45000X. The same investor also bought 35,730 Mar 34 calls on the index and the four-way spread (for net premium of $5 mln) seems to be a play on increasing volatility heading into-2013. It’s possibly to help hedge the risk of a market slide/volatility spike around the Fiscal Cliff deadline. Earlier, 25K Dec 35 calls traded on VIX at a nickel when the market was 0 to 10 cents and is possibly a liquidating trade. December options on the volatility index in 15 days and open interest at the 35 line is more than 120K.

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.