Shares of the iShares S&P 500 VIX short term ETN (VXX) are trading 40.88 up .26 today.? VXX is near the 52-week lows.
Today paper traded 22,000 VXX Mar 60 calls at .81-.82.? ADV is 256,000 contracts.? The OI is 13,000 contracts.
The volume traded in two blocks going up as a sold last through the printed bid at the time.? The paper is the largest today in VXX and the seller is fading higher IV in the market.? Call buyers in Jun and Feb went up the same exchange so it is possible this is some sort of time fly.? None of the options printed inside the markets at the time.
30-day implied volatility is 43%.?? 10-day implied volatility is 35%.? 30-day implied volatility is trading above the 10-day historical volatility.
The iShares S&P 500 VIX short term ETN (VXX) seek to hold a 30 day duration of the 1st two month futures in the VIX.