The CBOE Volatility Index (VIX) is trading up .35 to $14.14.? ?VIX is trading near one-month lows.
Paper traded the VIX Feb 17/20 call spread for split prices of .62 and .63 on a large block of 24,700 contracts.? The trade looks to have printed more with total volume on the strikes of 37,000 and 49,000, respectively. ?Average contract volume is over 517,000 contracts per day in the name.? Open interest is 47,000 and 109,000 contracts on the respective strikes.? The implied volatility is up .8 for Feb.? This could be closing paper with the high open interest but check the OI numbers tomorrow. The trade went up midmarket at the time.
30-day implied volatility is 72%.?? 10-day implied volatility is 186%.? 30-day implied volatility is trading well below the 10-day historical volatility.
The CBOE Volatility Index (VIX) is designed to track a 30 day duration of implied volatility in the S&P 500 options.