Shares of iPath S&P 500 VIX Short Term Futures ETP (VXX) are down .55 to 42.59 today.? VXX is near the bottom of the 52-week range.
Today paper traded 8,812 VXX Jan 44 calls at .865.? The ADV is 296,000 contracts.? The OI is 12,977 contracts.
The volume traded in two blocks with the larger size trading below the bid taking out volume.? 11428 have traded on the day in the strike and the IV is down 4 points as it looks like a trader is closing a long call position in a hurry.? The idea here is that VXX is not making a big move like previously anticipated.
30-day implied volatility is 44%. ? 10-day implied volatility is 28%.? 30 day implied volatility is trading above the 10 Day Historical volatility.
iPath S&P 500 VIX Short Term Futures ETP (VXX) is a product that keeps a 30 day duration in the VIX futures.