Shares of the iPath S&P 500 VIX Mid-Term ETP (VXZ) are down .01 to 15.43 today.? VXZ is trading near the lower end of the 52-week range.
Today paper traded 1250 VXZ May 16 calls/May 15 puts for .10.? The ADV is 276 contracts.? The OI is 1280 and 1354 contracts.
The volume went in several blocks marked spread.? The trade looks buying call and selling put to close based on the marks in the combo.? The trader could have ridden down the VXZ and is now closing the short combo to take profits.? That means they are think the drop in volatility is near an end in the mid-term part of the VIX future curve.
30-day implied volatility is 28%.?? 10-day implied volatility is 13%.? 30-day implied volatility is trading above the 10-day historical volatility.
The iPath S&P 500 VIX Mid-Term ETP (VXZ) seeks to follow a portfolio of VIX futures with a 4-7 month duration.