Volatility Sellers Emerge in February Vix Options
As the afternoon session gets underway volatility is being sold according to options activity in the CBOE Vix contract. The decisive options activity is helping add a little confidence back into the market aiding the benchmark S&P 500 index lift off session lows. At one point the index stood 18-points lower and at the time of writing is lower by just 3.5 points to 1786.5.
Chart ? Volatility calms as large seller of February premium turns up
Paper-selling has been found in call options expiring in February at the 22.0 strike. Earlier the cash index rose to 18.85 before easing back to 18.15. The Vix index has only spiked above a reading of 20.0 on a handful of occasions in the past year and as the Federal Reserve mulls further trimming to its asset purchase program, investors are straining to see a prolonged spike in the volatility index across time. According to time and sales data from the CBOE exchange a single seller sold 104,000 call options set to expire next month for a premium of 75-cents. Volume at the same strike has since reached 256,000 contracts and is currently left offered at 65-cents per contract. Prior to Monday?s session the total number of open calls at the 22.0 strike was 181,000 lots. In the March contract call options at the same 22.0 strike last trade at a $1.00 premium.?? ?
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