Weekend Review of VIX Futures and Options – 10/15/2017

On a week over week basis VIX hardly budged, but we did have a couple of days with closes over 10.00 both Monday and Tuesday.  In fact, we would have had a double digit VIX highs each day if it weren’t for Friday’s price action falling short by 0.02.  The curve moved lower than VIX as October played catch up with VIX going into this week’s settlement.

VIX Futures 10132017

Worth noting is the volatility of VIX options.  Specifically, the level of VVIX, which ticked higher last week and has been at the higher end of the 2017 range lately as well as well over the long-term average with is about 88.00 using the history we have going back to 2007.  VIX may be low, but VIX option buyers are willing to pay up for options.

LT VVIX Average

Another great example of using VIX Weeklys, with VIX at 10.05 and the November 1st VIX future quoted about a point higher a trader bought 7500 VIX Nov 1st 14 Calls for 0.63 and then sold 7500 VIX Nov 1st18 Calls for 0.31 and a net cost of 0.32.

VIX PO 10132017

The posts on this blog are opinions, not advice.
Please read our disclaimer for Indices.

Post a Comment

Thank you for submitting a comment. We ask you to use the comment guidelines to promote thoughtful and productive discussions. Your comment will be approved before it will be posted. Thank you for your patience.

Required fields are marked *


You may use these HTML tags and attributes: <a href="" title=""> <abbr title=""> <acronym title=""> <b> <blockquote cite=""> <cite> <code> <del datetime=""> <em> <i> <q cite=""> <s> <strike> <strong>

  • Categories

  • Recent Comments

  • Tags

  • Subscribe to
    VIX Views
  • Contributors


  • Quick Links

  • Blogroll

  • Follow Us

  • Archives