The CBOE Volatility Index (VIX) was down 3.31 yesterday to 13.96.? The index is trading near the bottom of its 52-week range.
The VIX Apr 14 calls and puts trade near the close as the last big block on the strike for .28 and .37 5,000 times.? The average volume is 623,877.? The open interest on the strikes is over 100,000 contracts.
The volume traded .02 off of the bid on each side.? There is no way to be sure if this is opening paper or closing paper.? This could be a play to sell the straddle into the VIX settlement this morning or close a long straddle that has pinned to the strike.
30-day implied volatility is 78%.? ?10-day implied volatility is 231%.? 30-day implied volatility is trading well below the 10-day historical volatility.
The CBOE Volatility Index (VIX) seeks to maintain constant 30 day duration in the implied volatility of the S&P 500 index options.