The Options Insider

Size Buyers of OTM VIX Calls

by | Oct 12, 2015 | Unusual Activity

27862 VIX Nov 30 calls went up in a large block on the CBOE.?

VIX image

The CBOE Volatility Index (VIX) is down .46 to 16.62 today. ?VIX is near the lower end of the 52 week range.

  • Paper traded 27862 VIX Nov 30 calls for .50.
  • The ADV is 782k contracts.? ?
  • The open interest is over 200k contracts.

The volume went up in a large block on the CBOE.? Over 100k calls traded up to .52 on large blocks so the customer is taking the recent lows to close or establishing a long with a short time horizon.? The OI should drop substantially tomorrow if closing.

  • IV 30 is trading for 84%.?
  • HV10 is trading for 114%.?
  • IV 30 is below the HV 10.

The CBOE Volatility Index measures the implied volatility of the S&P 500 index options maintaining constant 30 day duration.