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 these weekend blogs.

VIX TS Table 5262017

Friday, about an hour into the trading day, there was an interesting bull put spread executed in the VIX pit.  With VIX at 9.80 and the June 7th VIX Future at 10.80 someone sold the VIX Jun 7th 11.50 Puts for 1.11 and the purchased the VIX Jun 7th 9.50 Puts for 0.05 taking in a credit of 1.06.  If held to June 7thexpiration the trade makes money as long as settlement comes in above 10.44.

VIX PO Corrected

This trade risks 0.94 to make 1.06 with the maximum potential loss coming if June 7th VIX AM settlement comes in below 9.50.  For me, the result here is a great example of how VIX Weeklys options can be used and how traders can take advantage of what they make believe is VIX at unsustainably low levels.

The posts on this blog are opinions, not advice.
Please read our disclaimer for Indices.

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