The CBOE Volatility Index (VIX) is down .24 to $14.93 today.? VIX is at a one-week low.
Today paper traded the VIX Feb 14/17 put spread for 1.56 over 22,000 on blocks ranging between 5,000 and 100. Average contract volume is 496,000 per day in the name.? Open interest was 62,000 and 78,000 prior to the spread. The put spread looks to be a closing order but we will not know for sure until the OI number tomorrow.? Implied volatility is down 3.1 points today in January.? The spread is continually trading with volume on the strikes over 59,000 contracts.
30-day implied volatility is 69%.?? 10-day implied volatility is 198%.? 30-day implied volatility is trading well below the 10 day historical volatility.?
VIX is the CBOE Volatility Index meant to keep a match 30 day duration for implied volatility in the S&P 500.