Flies buzz in VIX
The CBOE Volatility Index (VIX) is even today at 13.09. VIX is trading near the bottom of the 52 week range.
Today paper traded 8000 VIX May 15/20/25 butterflies for .55.? The ADV is 500k contracts.? The OI is 50k+ per strike.
The volume went in in three blocks.? The trade went up right in the middle of the markets so most likely this was a crossed order. Normal order flow would have the customer buying the butterfly.? This would be a bet on VIX making a run higher. Doubtful this is a close with VIX hitting short term lows.? Paper is looking for slightly higher VIX numbers in the future.
30-day implied volatility is 63%. ?10-day implied volatility is 71%.? 30-day implied volatility is trading below the 10-day historical volatility.
The CBOE Volatility Index (VIX) is the 30-day forward implied volatility index for the S&P 500 index options.