The Options Insider

MASSIVE Post-Election VXX Put Butterfly Goes Up

by | Nov 8, 2016 | Unusual Activity

Paper traded 30457/60914/30457 VXX Nov18 27/28.5/30 put butterflies for .31. ?

VXX

Shares of the iPath S&P 500 VIX Short term ETP (VXX) are down .77 to 32.42 today.? VXX is near the lower end of the 52 week range.

  • Paper traded 30457/60914/30457 VXX Nov18 27/28.5/30 put butterflies for .31. ?
  • The ADV is 241k contracts.?
  • The OI is1914/4326/ 9924 contracts.

The volume went up in 3 blocks on the CBOE marked spread.? The trade is looking for a drop in VXX to around 28.5 where a pin could pay 5 to 1.? That might be a tough spot to hit if post election volatility really falls out of bed.

  • IV 30 is trading for 88%.?
  • HV10 is trading for 82%.?
  • IV 30 is trading above the HV 10.

The iPath S&P 500 VIX Short term ETP (VXX) replicates a 30-day duration of the front two-month futures in the VIX.