20000 VIX Sep 30/35 calls spreads could be an opening buy based on the spread pricing.?
The CBOE Volatility Index (VIX) is up 4.40 to 23.54 today. ?VIX is trading near the upper end of the 52 week range.
- Paper traded 20000 VIX Sep 30/35 calls spreads for .24. ???
- The ADV is 640k contracts.? ?
- The OI is 140k and 40k contracts.
The volume went up in 2 blocks on the CBOE marked spread. ??The could be an opening buy based on the spread pricing.? If they are closing it is hard to believe they sold the spread at a much higher price considering VIX is trading at near term highs.? The spread is .25 bid going out and a roll down to the 30 strike is very possible.? Either way the trader is long VIX or closing a short.
- IV 30 is trading for 130%.?
- HV10 is trading for 139%.?
- IV 30 is below the HV 10.
The CBOE Volatility Index??(VIX??Index) is considered by many to be the world’s premier barometer of equity market volatility. The VIX Index is based on real-time prices of options on the S&P 500??Index (SPX) and is designed to reflect investors’ consensus view of future (30-day) expected stock market volatility. The VIX Index is often referred to as the market’s “fear gauge.”