Shares of the iPath S&P 500 VIX Short Term Futures ETN are trading 19.61 up .08 today.? VXX is trading near the 52-week low.
Today paper traded 7,057 VXX Apr 20 puts for 0.45. ??Average volume is 266,858 contracts per day.? Open interest is 120,809 contracts.
The trade went up on the bid at the time so it is tough to tell as to direction.? The flow looks like it was a standing bid for .45 that was filled.? If so that is a very aggressive short term bet on VXX declining with that print being the largest block of the day in the product.
30-day implied volatility is 61%.?? 10-day implied volatility is 32%.? 30-day implied volatility is trading above the 10-day historical volatility.
iPath S&P 500 VIX Short Term Futures seeks to replicate a 30 day duration in the front two months VIX futures.