The CBOE Volatility Index (VIX) is up .17 to 15.11 today. ?VIX is in the middle of the 52 week range.
Today paper traded 9500 VIX May 14 puts over May 17/23 call spreads at $.625.? The ADV is 759k contracts.? The OI is huge on all strikes.
The volume went up in 4 blocks.? The trade looks like selling a call spread and buying a put for a short VIX position.? The trade is a play on the higher future premiums in VIX and possible bet they cannot stay so elevated.? Based on the current movement in VIX, the trade is probably opening.
30-day implied volatility is 72%.? ?10-day implied volatility is 127%.? 30-day implied volatility is trading below the 10-day historical volatility.
CBOE Volatility Index (VIX) maintains a 30 day forward average IV for the S&P 500 index options.