Shares of Barclays Bank PLC iPath S&P 500 VIX short term ETN (VXX) are down 3.42 to $28.32 today.? VXX is nearing a three-month low.
Paper traded the VXX Jun 17/19 put spread for .46 150,00 times.? Average contract volume is over 154,000 contracts per day in the name.? Open interest was less than 100 contracts on the strikes.? The implied volatility is down 2.8% on the strike. The trade looks to be a buyer at the time since the high side of the spread traded through the posted offer at the time.? VXX implied volatility drop in the other months was much lower than in Jun.
30-day implied volatility is 66%.?? 10-day implied volatility is 88%.? 30-day implied volatility is trading below the 10 day historical volatility.
Barclays Bank PLC iPath S&P 500 VIX short term ETN (VXX) tracks the front two month future contracts of the VIX by maintaining a constant 30 day duration mix of futures.