Shares of the iPath S&P 500 VIX Short-Term ETP (VXX) are down .30 to 40.63 today.? VXX is near a 52 week low.

Today paper traded 10000 VXX Jan 2015 85 calls over Jan 30 puts for 4.85. The ADV is 323k contracts. The OI is 80k on the puts and 1866 on the calls.

The paper went up in 2 huge blocks.? The calls traded through the posted offer as this trade went up.? Most likely this is a long strangle that the customer bought so they are looking for a big change in VXX over the next year.

30-day implied volatility is 43%.? ?10-day implied volatility is 46%.? 30 day implied volatility is trading below the 10 Day Historical volatility.

The iPath S&P 500 VIX Short-Term ETP (VXX) tracks the front two month VIX future and keeps a balance of a 30 day duration in the products.