Shares of the iPath S&P 500 VIX Short Term Futures ETN (VXX) were up .14 to 20.53 this morning.? VXX is trading near the bottom of the 52-week range.
Today paper is buying the VXX Apr 12 Weekly 35 calls for .03 with volume printing 72,186 contracts.? The volume went up in large blocks. The average contract volume is 265,000 contracts per day in the name.? Open Interest in the contract is 91.
The trade looks like opening paper speculating on a large jump in implied volatility.
30-day implied volatility is 66%.? 10-day implied volatility is 43%.? 30-day implied volatility is trading above the 10-day historical volatility.
The iPath S&P 500 VIX Short Term Futures ETN (VXX) seeks to keep a 30-day duration in the front two month VIX futures.