Weekend Review of VIX Futures and Options – 6/25/2017

VIX was a bit lower to end the week and the curve moved down as well.   We retired June last week and now July is the front month and is at a premium of just over 1.80 to finish the week.

VIX Table Curve 06232017

Before getting into a trade I would like to point out some heavy activity that abounded last week in the VIX Weekly options expiring this coming week.  There was a pretty big buyer of the VIX Jun 28th 19, 20, and 21 Calls paying 0.10 for the 19’s and 0.05 for both the 20’s and 21’s.  A majority of these trades occurred early this past week.  The figure below shows the open interest for each of these far out of the money VIX call options that only have two trading days remaining until expiration.  Adding the open interest for all three strikes together results in over 80,000 open positions.  That’s pretty good for many standard expiration strike and remarkable for the VIX Weeklys.

VIX June 28 Table OI

On Wednesday, there were two familiar, similar, and interesting trades that hit the VIX pit.  They were familiar in structure as they involved selling a put to help pay for a call spread.  They both are looking for some sort of volatility spike between now and late July, more likely in late July than in the near future.  What makes them interesting is they were executed in a weekly or non-standard series of VIX options.  Trade one involved selling the VIX Jul 26th 10.50 Puts for 0.21, buying the VIX Jul 26th 17.00 Calls for 0.54 and selling the VIX Jul 26th 30.00 Calls for 0.15 which results in a net cost of 0.18.  The other trade sold the VIX Jul 26th 11.00 Puts for 0.45, purchased the VIX Jul 26th 15 Calls at 0.68, and selling the VIX Jul 26th 30 Calls for 0.09 which results in a cost of 0.14.  The payoff diagram below shows the outcome for both trades if held through expiration.

VIX PO 06232017

Note both shapes are very similar with a low dollar cost up front, potential downside with VIX hovering around 2017 lows, and some great upside potential.  The thing that gets me is the timing, why the July 26th series instead of the standard July expiration the week before these options go off the board?  If may be worth checking the economic and earnings calendar to see if something specific is scheduled between those two expiration dates.

Weekend Review of Volatility Indexes and ETPs – 6/25/2017

VXST was slightly higher while the rest of the SPX related volatility indexes dropped last week.  All moves were relatively small as we have truly entered the summer doldrums, at least for broad based index volatility. There’s very little exciting on the table below.  TYVIX bumped up slightly, but is still at very low levels.  […]

Weekend Review of VIX Futures and Options – 6/18/2017

VIX gave volatility bulls a little hope on Monday rising to the highest intra-day level since VIX was receding from the news flow that followed the firing of Comey by Donald Trump in the middle of May.  However, as is the norm, VIX dropped and worked lower with the curve following in suit. As Monday […]

Weekend Review of Volatility Indexes and ETPs – 6/18/2017

As the week came to a close VXST which measures 9-day volatility expectations took a dive.  Hence the big drop on the left side of the VXST – VIX – VXV – VXMT diagram below. TYVIX finished the week below 4.00 which was a first for 2017, but not outside of the long term historical […]

Weekend Review of VIX Futures and Options – 6/11/2017

VIX was higher by about 10% last week, but that did not have much of an impact on the rest of the term structure.  The futures were mixed which can be attributed to just how steep the VIX curve was going into the week. Before things turned to the upside on Friday we experienced the […]

Weekend Review of Volatility Indexes and ETPs – 6/11/2017

That little bump in VXST that shows up on the far left side of the diagram below can be attributed to Friday afternoon activity.  VXST rose 0.75 Friday while VIX was up 0.54.  Shorter dated SPX option pricing is used to calculate VXST than VIX.  It may be the weakness Friday afternoon in large cap […]

VIX Index Closes Below 10 Again, As Professor Called the VIX Level the Biggest Financial Mystery

On June 1st the CBOE Volatility Index® (VIX®) closed at 9.89. June 1st marked only the 14th day on which the VIX Index closed below 10 (its price history begins in 1990). Six of the 14 days on which the VIX Index closed below 10 occurred in 2017 (see Exhibit 1 below for a list […]

Weekend Review of Volatility Indexes and ETPs – 5/28/2017

VXST closed Friday at an all-time low of 7.60 which sounds impressive until you hear that for VXST the history we have to work with only goes back to 2011.  I am going to make a bold prediction and say that VXST will move higher when the market reopens on Tuesday.  Read that as sarcasm […]

Weekend Review of VIX Futures and Options – 5/28/2017

VIX finished the week at 9.81, just a tad above the post 2008 lows put in earlier this month.  The June 2017 VIX cycle is five weeks long so there’s still plenty of time until June 21st expiration.  The result is one of the steepest curves a can recall in the six years of posting […]

Weekend Review of VIX Futures and Options – 5/21/2017

The term structure and payoff below does not do any justice to what those of us that focus on VIX and related markets this past week.  In fact, when the dust settled, all the standard futures were hardly changed on the week. Just to record what did happen last week I made a second term […]


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