The CBOE Volatility Index (VIX) is trading up .76 to 18.60 this morning. VIX traded as high as 19.93 on Friday.
Paper is trading a four-way spread in the VIX Mar 23/24/25/26 strikes for prices of 1.75/1.55/1.40/1.23.? Volume in blocks of 2,400 calls went up marked as spread.? Average contract volume is over 485,000 contracts per day in the index.? Open interest is over 9,000 per strike.? The implied volatility in Mar is up only .40 today. The trade looks to be a Condor for a .03 debit and a low cost way to play higher a VIX price but it is unclear as most of the prices went up mid-market.
30-day implied volatility is 90%.?? 10-day implied volatility is 72%.? 30-day implied volatility is trading over the 10-day historical volatility. ?
The CBOE Volatility Index (VIX) is an index that is configured to have a constant 30-day duration for the implied volatility of the S&P 500 Index options.