37200 VIX May17 35 calls, 9000 VIX May17 20 calls and 6000 VIX Apr19 19 calls went up in 5 blocks on the CBOE marked spread
The CBOE Volatility Index (VIX) is down .50 to 11.80 today.? VIX is near the lower end of the 52-week range.
- Paper traded 37200 VIX May17 35 calls, 9000 VIX May17 20 calls and 6000 VIX Apr19 19 calls for .25/1.00 and .52. ??
- The ADV is 595k contracts.?
- The OI on the Apr?s is 58k and the May 35s and 20s are 15k and 91k contracts.
The volume went up in 5 blocks on the CBOE marked spread.? Open interest on the May 35s is light so this end of the spread is opening.? The short ends of the spread would leave a slight credit.? If the trader is trying to take profits on the sales VIX is near the bottom so it is doubtful they made anything on it.? If the trade is a net open they are looking to collect a nice credit against the net long contracts.
- IV 30 is trading 77%
- HV10 is trading for 80%.?
- IV 30 is trading below the HV 10.
VIX is the CBOE Volatility Index that measures Implied Volatility in the SPX 30 days forward.