Weekend Review of VIX Futures and Options – 1/21/2018

Although still at a historically low level, VIX showed some signs of life this past week trading above 12.00 for the first time since December 1st last year.  Standard January futures and options went off the board Wednesday morning settling well above 12.00.  The futures moved up a bit, but not nearly to the extent of spot VIX.  This may be taken as the market expecting VIX to return to historically low levels.  Of course when this has been the case for so long, why wouldn’t the traders not push the futures higher.

VIX Table 011292018

The last big trade in the VIX pit Friday occurred with just seconds left in the day.  Someone came in and purchased 2000 VIX Feb 13 Calls for 0.94 and sold 2000 VIX Feb 18 Calls for 0.42.  The net result was a cost of 0.52 and a decent payoff if we get follow through to the upside on the recent VIX strength.  They may have even been hoping for volatility to rise early next week based on the government shutdown not being resolved by Monday.

VIX PO 01192018

The posts on this blog are opinions, not advice.
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