The CBOE Volatility Index (VIX) is up .17 to 13.09 today.?? VIX is near the bottom of the 52-week range.
Today paper traded 13,000 VIX Jan 15 puts for 1.64.? The ADV is 544,000 contracts.? The OI is 121,000 contracts.
The volume is the largest block trading in the VIX today.? The puts trade near the offer.? With VIX near lows it is hard to believe this is a closing sale.? The trade looks like a bearish bet on VIX moving into expiration past NFP on Friday.
30-day implied volatility is 57%.?? 10-day implied volatility is 69%.? 30-day implied volatility is trading below the 10-day historical volatility.
The CBOE Volatility Index (VIX) measures the implied volatility of the S&P 500 index options on a 30 day duration.