Shares of the Ipath S&P 500 VIX Short Term Future ETN (VXX) is up .07 to 30.82.? VXX is near the bottom of the 52 week range.
Today paper traded 10000 VXX Jun 30 puts for .49 and 20000 Aug 25/28 puts spreads for .85.? The ADV is 280k contracts.? The OI is 40k+ on the Jun strike and less than 10k on the Aug contracts.
The volume went up in 3 large blocks.? There is huge open interest on the Jun puts which could be closing if the trader caught the dead bottom on Friday.? Most likely this is a roll yield play where the Aug put spreads pay for the Jun if VXX takes off.? Short term if VXX drops the Jun puts should pay well.
30-day implied volatility is 44%.?? 10-day implied volatility is 32%.? 30 day implied volatility is trading above the 10 Day Historical volatility.
The Ipath S&P 500 VIX Short Term Future ETN (VXX) tracks the two near term VIX futures maintaining a 30 day duration mix of futures.