There was some interesting spread activity this morning in the VIX.? Around 9:37, things got hopping in the July 14/18 call spread.? Details are below:
First batch:
July 16 14c: 39,626 @ 0.62. At the time the market was 0.60 x 0.65, the IV was 81, and the underlying 10.81.
July 16 18c: 39,626 @ 0.25. At the time the market was 0.20 x 0.30, the IV was 109, and the underlying 10.81.
Then came:
July 16 14c: 4,683 @ 0.59. At the time the market was 0.55 x 0.60, the IV was 79, and the underlying 10.50.
July 16 18c: 4,683 @ 0.22. At the time the market was 0.20 x 0.30, the IV was 105, and the underlying 10.50.
And finally:
July 16 14c: 3,317 @ 0.59. At the time the market was 0.55 x 0.60, the IV was 79, and the underlying 10.50.
July 16 18c: 3,317 @ 0.23. At the time the market was 0.20 x 0.30, the IV was 105, and the underlying 10.50.
So far for the day, the July 16 14c traded 59,371 times and has an open interest of 171,416. The July 16 18c has traded 58,272 and has an OI of 144.629.