Long Puts Rolled on the VIX
The CBOE Volatility Index (VIX) is seeing a bump higher this morning, despite the S&P500 rallying over 9 points. Currently, the VIX is registering 16.22, up 6.85%, while front month futures are trading at $18.70.
Volatility has been on the wane over the past three months, as illustrated by consecutively lower VIX settlements: 17.78 in June, 16.76 in July, and 15.13 in August.
There has been one large put player in the VIX today; the trader looks to be rolling a long put position from October out to January 2013.
The action kicked off with a 10,000 contract block of Oct $20/Jan13 $25 put calendars that traded at $1.84, shortly followed by a 2,500 contract block, and a 1,500 contract block. In all three cases, it appears that that October contracts were sold for $2.12 (between the bid/ask spread of $2.10/2.15) and the January 2013 contracts were purchased for $3.94 (between the bid/ask spread of $3.80/4.00).
Given the respective open interest of 91,341 and 7,509 contracts, it is safe to assume that this is a roll.
Other than the above trade, action in the VIX has been slow so far with only small lots trading.
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