VIX Options and Futures Weekend Review for February 11, 2018

For the past few months writing this weekend review has been a difficult task.  How many different ways can I say VIX is low and reflecting low realized volatility in the S&P 500?  The past couple of weeks it has suddenly gotten much easier to talk about VIX.

Last week was the first one week drop of greater than 5% since early January 2016.  The weakness actually began two weeks ago and the S&P 500 has given up 8.8% in the past two weeks is the biggest two week drop since August 2011.  The result is VIX doing what it does in times of uncertainty, move up and move up quickly.

VIX was up about 68% last week and the front month February future gained almost 74%.  VIX settlement for February occurs this coming Wednesday morning and time running out on the futures provided a little extra boost.  We moved from slight backwardation to substantial backwardation pretty quickly.

VIX Curve 02092018 VIX Options and Futures Weekend Review for February 11, 2018 at vixtrade.com

Last week I provided an update on a large VIX trade that has been rolled a few times since being initiated last July.  The table below summarizes the initial trade, rolling transaction, and what appears to be a partial exit this past week.  The trade size is approximately selling 250,000 12 Puts, buying 250,000 15 Calls, and selling 500,000 25 Calls.

VIX Elephant Rolls 02092018 VIX Options and Futures Weekend Review for February 11, 2018 at vixtrade.com

As of February 2nd the trade had been rolled four times which, excluding commissions, had resulted in a credit of 0.05 per spread.  The position at this time was short 1 VIX Mar 12 Put, long 1 VIX Mar 15 Call, and short 2 VIX Mar 25 Calls.   The payout, if held to expiration, looks like the diagram below.  Note there’s risk with VIX under 12.00 or greater than 35.00.

VIX PO 02092018 1 VIX Options and Futures Weekend Review for February 11, 2018 at vixtrade.com

This past week there was a buyer of the VIX Mar 12 Puts, selling the VIX Mar 15 Calls, and buying the VIX Mar 25 Call.  This spread was executed about 250,000 times generating a credit of 3.00 and appears to represent exiting all but half the short VIX 25 Calls.  This alters the risk / reward a bit with the at expiration payout that looks like the diagram below.  To give a bit of perspective I included the closing prices for the March futures and spot VIX on this payout.

VIX PO 02092018 2 VIX Options and Futures Weekend Review for February 11, 2018 at vixtrade.com

 VIX Options and Futures Weekend Review for February 11, 2018 at vixtrade.com >

Biggest-Ever One-Day Moves Today for Both VXST Index (Up 214.6%) and VIX Index (Up 115.6%) – By Matt Moran

Feb. 5, 2018 – Today was the second trading day in a row on which there was very strong volume on Cboe Global Markets’ options exchanges and futures exchange. Today there were record-breaking one-day percentage moves for both the Cboe Short-Term Volatility Index (VXST), which rose 214.6% to close at 59.34, and for the popular Cboe Volatility Index® (VIX®) which rose 20.01 points (or 115.6%) to close at 37.32.

1 Biggest VIX Moves thru Feb 5 with edited headings Biggest Ever One Day Moves Today for Both VXST Index (Up 214.6%) and VIX Index (Up 115.6%) – By Matt Moran at vixtrade.com

PRICE CHARTS FOR 2018

The first price chart below shows that the levels for the Cboe Crude Oil Volatility Index (OVX) were higher than those for the VXST and VIX indexes in January, but today the the VXST and VIX rose much higher than the OVX Index – in general, implied volatility now is higher for the S&P 500 than it is for the USO Oil ETF.

2 3 vol indexes thru Feb 5 Biggest Ever One Day Moves Today for Both VXST Index (Up 214.6%) and VIX Index (Up 115.6%) – By Matt Moran at vixtrade.com

Today the S&P 500 Index fell 4.4% and the Cboe VIX of VIX Index (VVIX) rose 41.3%; the implied volatility for VIX options has risen (see also the volatility skew charts below).

3 SPX and VVIX Feb 5 Biggest Ever One Day Moves Today for Both VXST Index (Up 214.6%) and VIX Index (Up 115.6%) – By Matt Moran at vixtrade.com

VIX FUTURES PRICES AND OPEN INTEREST FOR 14 EXPIRATIONS IN THE NEXT NINE MONTHS

While the VIX Index closed at 37.32 today, many volatility traders say that the prices they focus on are the VIX futures prices. The table below shows prices (ranging from 19.35 to 35.3) and open interest for 14 expirations for VIX futures. The prices below can provide some clues as to where the financial markets think that the VIX wil be at in future months. Today the VIX Index is in backwardation (rather than contango).

4 VIX Futures Prices on Feb. 5 Biggest Ever One Day Moves Today for Both VXST Index (Up 214.6%) and VIX Index (Up 115.6%) – By Matt Moran at vixtrade.com

VIX AND SPX OPTIONS – HIGHER IMPLIED VOLATILITY

The next two charts show how the volatility skew (and Bloomberg’s estimates for 30-day implied volatility) changed from January 19 to February 5.

In the first chart below, Bloomberg’s estimates for 30-day implied volatility for VIX options on January 19 ranged from 68.9 to 115.5, and on February 5 the range was much higher – from 146.8 to 353.1.

5 VIX skew Feb 5 Biggest Ever One Day Moves Today for Both VXST Index (Up 214.6%) and VIX Index (Up 115.6%) – By Matt Moran at vixtrade.com

In the next chart, the estimates for implied volatility for at-the-money SPX options (at 100% moneyness) were 8.5 on January 19 and 30.9 on February 5. SPX implied volatility at 80% and 90% moneyness generally has been much higher than at 100% moneyness – this reflects the fact that there often is big demand for out-of-the-money SPX puts to be used for portfolio protection.

6 SPX skew Feb 5 Biggest Ever One Day Moves Today for Both VXST Index (Up 214.6%) and VIX Index (Up 115.6%) – By Matt Moran at vixtrade.com

WHITE PAPERS ON PORTFOLIO RISK MANAGEMENT

To learn more about portfolio management tools that can be used to manage risk in portfolios, please click on the links to white papers below (many of which are available at www.cboe.com/benchmarks).

 

 

 

 

 Biggest Ever One Day Moves Today for Both VXST Index (Up 214.6%) and VIX Index (Up 115.6%) – By Matt Moran at vixtrade.com >

Volatility Index and ETP Weekend Review for February 4, 2018

Of the four volatility indexes on the term structure chart below two have been around the longest.  Of course VIX with the other being VIX3M (formerly known as VXV).  The relationship between the 1-month volatility index and 3-month version usually has VIX at a discount to VIX3M.  Friday this relationship flipped for the first time since April of last year.  It is considered a sign of fear being ‘overdone’ when VIX is higher than VIX3M.  We shall see next week if the fear is overdone or not.

 Volatility Index and ETP Weekend Review for February 4, 2018 at vixtrade.com

TYVIX is still elevated, but lagged the equity volatility moves last week, even with a 1% drop in TY futures.  Note VVIX and SKEW both strong in sync with the VIX move from last week.  People are still paying up for protection against a bigger drop in equity prices through purchasing OTM SPX puts or VIX calls.

 Volatility Index and ETP Weekend Review for February 4, 2018 at vixtrade.com

The volatility space was mostly green last week, individual stocks and a couple of currencies were the only losers.

 Volatility Index and ETP Weekend Review for February 4, 2018 at vixtrade.com

Late Friday VXX was at 32.92 and one trader decided we won’t see massive follow through to the upside in volatility next week.  They sold 200 VXX Feb 9th 40 Calls for 0.57 and purchased 200 VXX Feb 9th 52 Calls for 0.18 resulting in a credit of 0.39.

 Volatility Index and ETP Weekend Review for February 4, 2018 at vixtrade.com

The short strike (40.00) is slightly more than 20% higher than where VXX was when this trade was executed.  VXX has been around for 470 weeks since launched in early 2009 and it has rallied more than 20% only 14 of those weeks.  We’ll see this time next week if next week is the 15th 20% plus rally or not.

 Volatility Index and ETP Weekend Review for February 4, 2018 at vixtrade.com >

VIX Futures and Options Weekend Review for February 4, 2018

Last week VIX gained over 50% for the first time since August last year.  We all know most of this came Friday with the S&P 500 losing just over 2% on the day.  The obituaries being written about VIX after a historically tame year last year may have been a bit premature.

 VIX Futures and Options Weekend Review for February 4, 2018 at vixtrade.com

Friday was a huge day for VIX option trading as volume records were smashed.  At the end of the day over 4.3 million contracts had changed hands in the VIX pit.  Of course a good portion of Friday’s volume came from the roll of a very large spread trade that has been occupying the pits attention since July last year.  I’m going to summarize the history on this one as briefly as possible.  But there are lots of moving parts so pay close attention.

The first part of the story begins on Friday July 21st when a trade was initiated that sold 1 VIX Oct 12 Put for 0.75, purchased 1 VIX Oct 15 Call for 1.45, and the sold 2 VIX Oct 25 Calls for 0.45 each for a net credit of 0.20.  This spread was traded a little over 260,000 times (260,000 of the 12 Puts and 15 Calls and 520,000 of the 25 Calls).

Part two occurred on September 25th when the trade was rolled from October to December.  They bought the VIX Oct 12 Puts for 0.87, sold the VIX Oct 15 Calls at 0.63, and then covered the VIX Oct 25 Calls for 0.15 each.  Exiting the October position cost 0.54 per spread.  A December position was initiated in the same contracts with 1 VIX Dec 12 Put being sold for 0.80, 1 VIX Dec 15 Call purchased for 1.80, and 2 VIX Dec 25 Calls sold for 0.67 each for a net credit of 0.34.  Combining the October and December legs resulted in a cost of 0.20, which is equal to the credit taken in back in July so at this point the running trade was done for no cost.

A third rolling transaction occurred on December 1st last year with the trade being rolled from December to January.  The VIX Dec 12 Puts were purchased for 0.90 and two Dec 25 Calls purchased for 0.20 each while the VIX Dec 15 Calls were sold for 0.90.  This leg results in a cost of 0.40 to exit.  The VIX Jan 12 Puts were sold for 0.70, VIX Jan 15 Calls purchased for 1.50 and then finally two VIX Jan 25 Calls sold for 0.50 each.  The January leg generated a credit of 0.20 so the third rolling transaction cost 0.20 which is at this time was the running cost for this trade.

The fourth part of this trade occurred on January 10th when this trade was rolled out to February.  The VIX Jan 12 Puts were purchased for 1.53, the VIX Jan 15 Call sold for 0.12 and finally the two VIX Jan 25 calls purchased for 0.04 with a net cost of 1.49 to exit the January part of the trade.  The rolling trade moved exposure to February contracts which expire on February 14th.  The VIX Feb 12 Puts were sold for 1.38, the VIX Feb 15 Calls were purchased for 0.73 and then finally two VIX Feb 25 Calls were sold for 0.27 each.  This part of the trade generated a credit of 1.19 resulting in a cost of 0.30 per spread for this roll.  This means the net running cost for this trade had increased to 0.50 summing all the debits and credits together over all transactions

Now we get to this past Friday for what is part five.  This trade was rolled from February to March expiration, but unlike the past rolling transactions, a credit was received as opposed to a debit being paid out.  The closing trades for the February leg involved buying back the Feb 12 Put for 0.35, covering two Feb 25 Calls for 0.29 each and selling the Feb 15 Call for 1.31 which nets out to a credit of 0.38.  The Mar 12 Put was sold at 0.76, two Mar 25 Calls sold for 0.62 each and then a Mar 15 Call purchased for 1.83 resulting in a credit of 0.17 on the March leg of this trade.  The net result is a credit of 0.55 which offsets the running cost of 0.50 associated with the previous transactions and a payoff at March expiration that looks like the diagram below.

 VIX Futures and Options Weekend Review for February 4, 2018 at vixtrade.com

So that’s the full story and of course if the trade is exited, expires, or rolled we will update the status in this space.

 VIX Futures and Options Weekend Review for February 4, 2018 at vixtrade.com >

Today the VIX Index Rose 28.5% and VIX Options Set a New Daily Volume Record – By Matt Moran

FRIDAY, FEB. 2, 2018 – The financial markets experienced some big moves today as investors’ had increased concerns about the possibility rising interest rates and inflation.

BIG PRICE MOVES – Today the S&P 500 (SPX) Index fell 2.1%, the Cboe VIX of VIX Index (VVIX) rose 18.7%, and the Cboe Volatility Index® (VIX®) rose 28.5% to close at 17.31, its highest daily closing value since 2016.

DAILY VOLUME RECORDS – Today Cboe Global Markets issued a press release that noted several new daily volume records —

– VIX options volume reaches new all–time high, topping the previous record by 39 percent;

– New single–day records set at Cboe Options, C2 Options and Cboe EDGX Options exchanges.

FIVE CHARTS

Here are five charts showing index price movements or growing volume.

1 SPX VIX in 2018 Feb 2 Today the VIX Index Rose 28.5% and VIX Options Set a New Daily Volume Record – By Matt Moran at vixtrade.com

 

2 SPX VVIX Feb 2 Today the VIX Index Rose 28.5% and VIX Options Set a New Daily Volume Record – By Matt Moran at vixtrade.com

 

3 VIX Feb 2nd record volume Today the VIX Index Rose 28.5% and VIX Options Set a New Daily Volume Record – By Matt Moran at vixtrade.com

Volume for options on both the VIX and the SPX indexes had started strongly in 2018.

2 VIX ADV thru Jan 2018 Today the VIX Index Rose 28.5% and VIX Options Set a New Daily Volume Record – By Matt Moran at vixtrade.com

1 SPX ADV thru Jan 2018 Today the VIX Index Rose 28.5% and VIX Options Set a New Daily Volume Record – By Matt Moran at vixtrade.com

To learn more about portfolio management with options and volatility products, please visit www.cboe.com/VIX and www.cboe.com/benchmarks.

 Today the VIX Index Rose 28.5% and VIX Options Set a New Daily Volume Record – By Matt Moran at vixtrade.com >

Weekend Review of VIX Futures and Options – 1/28/2018

VIX was lower last week, but that’s the only thing that lost value on the table / term structure chart below.  All the futures moved higher despite VIX moving lower, but also shaking off a very bullish week for the S&P 500.  We live in unusual times and there is much being written about the VIX behavior which seems to be ignoring record S&P 500 moves.  Usually this disconnect rights itself with either stock prices dropping or VIX finally giving into the reality of a higher S&P 500.

 Weekend Review of VIX Futures and Options – 1/28/2018 at vixtrade.com

Before moving on to a trade I’d like to note that on Friday there was a seller of just over 25,000 VIX Feb 7th 21 Calls who was able to get the whole trade crossed with two counterparties in VIX pit at Cboe.  I don’t know if they are short the calls versus futures, speculating, or what.  I just wanted to note how a large trade is being done in the non-standard expirations.

For a trading example I’m sticking with the Weeklys, but reporting on a smaller trade.  First thing Friday, with VIX around 11.60, there was a trade buying the VIX Feb 7th 13 Calls for 0.69 and selling the VIX Feb 7th 21 Calls for 0.10 resulting in a net cost of 0.59.  The hope behind this trade is for a move to the mid-teens between Friday and a week from Wednesday.  The only big number I came across was January employment next Friday, but as skittish as the stock market has been, it may not take too much news to push VIX to levels this trade is hoping for.

 Weekend Review of VIX Futures and Options – 1/28/2018 at vixtrade.com

 Weekend Review of VIX Futures and Options – 1/28/2018 at vixtrade.com >

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.

 Weekend Review of VIX Futures and Options – 1/21/2018 at vixtrade.com

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.

 Weekend Review of VIX Futures and Options – 1/21/2018 at vixtrade.com

 Weekend Review of VIX Futures and Options – 1/21/2018 at vixtrade.com >

Weekend Review of Volatility Indexes and ETPs – 1/21/2018

All four volatility indexes based on S&P 500 Index option pricing moved higher last week.  I know all the talk was about the government shutdown being responsible for the rise.  However, if that were totally the case I don’t think we would be seeing VIX3M and VXMT moving up as much as they did.  I believe there’s more going on here, but I also spend most Friday evenings watching Ancient Aliens.

 Weekend Review of Volatility Indexes and ETPs – 1/21/2018 at vixtrade.com

In the ETP space the long funds benefitted from the bump in VIX futures.  Also worth paying attention to is the gain in VVIX, SKEW, and TYVIX.  Risk is coming back into the markets in a broad way.

 Weekend Review of Volatility Indexes and ETPs – 1/21/2018 at vixtrade.com

The majority of volatility indexes we quote at Cboe Global Markets were higher last week.  On the downside GS and IBM volatility dropped, based on earnings releases and Gold, Oil, and Sliver volatility were all lower.

 Weekend Review of Volatility Indexes and ETPs – 1/21/2018 at vixtrade.com

On Thursday, with moderate fears of a government shutdown pushing volatility markets higher, one trader came in with an interesting spread.  They sold 150 VXX Jan 19th 27 Calls for 0.40 and then purchased 200 VXX Jan 19th 28.5 Calls for 0.12 each.  Basically they purchased four calls for every three sold.  The net result was a credit of $3600 (excluding commissions).  This trade was executed with VXX near 27.00.  A payoff diagram based on Friday’s close appears below.

 Weekend Review of Volatility Indexes and ETPs – 1/21/2018 at vixtrade.com

This trade was a little dicey early on Friday VXX traded as high at 27.40 which would have resulted in a loss of $2400 if that’s where VXX had closed.  Although the government did shut down, VXX finished Friday a bit lower on the day and if this trade was held through the close the result was a profit equal to the credit of $3600 taken in late Thursday.

 Weekend Review of Volatility Indexes and ETPs – 1/21/2018 at vixtrade.com >

Weekend Review of VIX Options and Futures – 1/14/2018

VIX gained and the futures curve dropped a bit last week. This is not totally out of the norm, but before a holiday weekend is something I cannot recall occurring in my years of watching VIX price action.

 Weekend Review of VIX Options and Futures – 1/14/2018 at vixtrade.com

Wednesday last week was the second busiest day on record in the VIX option arena.  A good portion of this can be attributed to one very large position being rolled from January to February VIX contracts.  It turns out this has been an ongoing saga starting back in the summer.  Here’s the full story of this short 1 VIX 12 Put, long 1 VIX 15 Call, short 2 VIX 25 Calls spread trade.

The first part of the story begins on Friday July 21st when a trader initiated a spread that sold 1 VIX Oct 12 Put for 0.75, purchased 1 VIX Oct 15 Call for 1.45, and the sold 2 VIX Oct 25 Calls for 0.45 each for a net credit of 0.20.  This spread was traded a little over 260,000 times (260,000 of the 12 Puts and 15 Calls and 520,000 of the 25 Calls).  The payout if held to October expiration appears below.

 Weekend Review of VIX Options and Futures – 1/14/2018 at vixtrade.com

On September 25th the trader rolled this position from October to December.  They bought the VIX Oct 12 Puts for 0.87, sold the VIX Oct 15 Calls at 0.63, and then covered the VIX Oct 25 Calls for 0.15 each.  Exiting the October position cost 0.54 per spread.  A December position was initiated in the same contracts with 1 VIX Dec 12 Put being sold for 0.80, 1 VIX Dec 15 Call purchased for 1.80, and 2 VIX Dec 25 Calls sold for 0.67 each for a net credit of 0.34.  Combining the October and December legs resulted in a cost of 0.20, which is equal to the credit taken in back in July so at this point the running trade was done for no cost.  The payoff below shows how this trade would work at different levels upon December expiration.

 Weekend Review of VIX Options and Futures – 1/14/2018 at vixtrade.com

Note the second payoff diagram is very similar to the first, but shifted down a little bit.

A third rolling transaction occurred on December 1st last year with the trade being rolled from December to January.  The VIX Dec 12 Puts were purchased for 0.90 and two Dec 25 Calls purchased for 0.20 each while the VIX Dec 15 Calls were sold for 0.90.  This leg results in a cost of 0.40 to exit.  The VIX Jan 12 Puts were sold for 0.70, VIX Jan 15 Calls purchased for 1.50 and then finally two VIX Jan 25 Calls sold for 0.50 each.  The January leg generated a credit of 0.20 so the third rolling transaction cost 0.20 which is at this time was the running cost for this trade.  The payoff diagram below takes into account the running cost of rolling this trade since inception in July.

 Weekend Review of VIX Options and Futures – 1/14/2018 at vixtrade.com

This payoff diagram is very similar to the first two, but has shifted down a little bit with a loss of 0.20 at expiration.

Now we get to this week.  This past Wednesday this trade was rolled out to February.  The VIX Jan 12 Puts were purchased for 1.53, the VIX Jan 15 Call sold for 0.12 and finally the two VIX Jan 25 calls purchased for 0.04 with a net cost of 1.49 to exit the January part of the trade.  The rolling trade moved exposure to February contracts which expire on Valentine’s Day (early reminder guys).  The VIX Feb 12 Puts were sold for 1.38, the VIX Feb 15 Calls were purchased for 0.73 and then finally two VIX Feb 25 Calls were sold for 0.27 each.  This part of the trade generated a credit of 1.19 resulting in a cost of 0.30 per spread for this roll.  This means the net running cost for this trade is now 0.50 and a payout at February expiration that looks like the diagram below.

 Weekend Review of VIX Options and Futures – 1/14/2018 at vixtrade.com

This trade is looking for some sort of volatility event with a potential trade occurring to take profits if we get the long overdue spike.  As always if something happens worth talking about we will report back in this space.

 Weekend Review of VIX Options and Futures – 1/14/2018 at vixtrade.com >

Weekend Review of Volatility Indexes and ETPs – 1/14/2018

We got an interesting move in the VXST – VIX – VIX3M – VXMT curve last week.  The short end moved higher despite a nice bullish move out of stocks.  The volatility market has been a bit jumpy like we are bracing for an unforeseen spike.  We’ll see if the nervousness is justified.

 Weekend Review of Volatility Indexes and ETPs – 1/14/2018 at vixtrade.com

I’ve been keeping a close eye on TYVIX since the bond market has been discussed pretty frequently in the financial press lately.  Until it starts to move I’m going to consider the talk nothing to get excited about.  Just for perspective, the long term range for TYVIX is from a 3 to an 11 handle.

 Weekend Review of Volatility Indexes and ETPs – 1/14/2018 at vixtrade.com

Pre three-day holiday weeks usually have more volatility indexes down on the week than appear below.  The currency markets were by far the leaders which means this may be the place to explore for trades that require some price movement.

 Weekend Review of Volatility Indexes and ETPs – 1/14/2018 at vixtrade.com

Early Friday, with UVXY at 8.62, a trader came in with a low cost trade gaining positive exposure to any potential ‘volatility event’ next week.  They specifically sold the UVXY Jan 19th 8 Puts for 0.09, bought the UVXY Jan 19th 10 Calls for 0.16, and then finished things up by selling the UVXY Jan 19th 12 Calls for 0.09.  The net result is a credit of 0.02 and a payoff that looks like the diagram below.

 Weekend Review of Volatility Indexes and ETPs – 1/14/2018 at vixtrade.com

This trade is fine as long as UVXY doesn’t move below 8.00 next week.  Of course the goal is a huge move to 12.00 which if held through expiration places the profit at just over 2.00.

 Weekend Review of Volatility Indexes and ETPs – 1/14/2018 at vixtrade.com >

Weekend Review of VIX Futures and Options – 12/24/2017

December VIX went off the board and January became the front month this past week.   VIX moved higher for the week, however, all the standard futures moved down a bit.  The contango is still steep as traders start to brace for 2018.

 Weekend Review of VIX Futures and Options – 12/24/2017 at vixtrade.com

Late Friday someone executed the VIX version of a covered call focusing on the standard March expiration.  About 1200 of the VIX Mar 13 Puts were sold at 1.92 and March 13 Calls purchased for 2.03.  For those who don’t remember their put-call parity from school short put plus long call is the equivalent of being long the underlying.  In VIX world the closest thing to an underlying for the options is the corresponding future.  At the time of the trade the March VIX future was trading at 13.10, the synthetic long position created by selling the put and buying the call cost 0.11.  Adding 0.11 to the strike price gives you an equivalent price of 13.11.

Now that I’m done lecturing about put-call parity I’ll get back to the trade.  The trade was finished with the VIX Mar 23 Calls being sold for 0.76.  The net result was a credit of 0.65 and a very familiar looking payoff at expiration.

 Weekend Review of VIX Futures and Options – 12/24/2017 at vixtrade.com

 Weekend Review of VIX Futures and Options – 12/24/2017 at vixtrade.com >

Weekend Review of Volatility Indexes and ETPs – 12/24/2017

The volatility index price action relative to the equity market price action was pretty interesting last week.  The S&P 500 was higher, as were three of the four volatility indexes calculated using S&P 500 option pricing.  VXST was lower, but that is very common before three day weekends due to the calculation methodology (calendar days) when we have the market closed for three days.

 Weekend Review of Volatility Indexes and ETPs – 12/24/2017 at vixtrade.com

VVIX stays over 90 and moved up a bit last week and TYVIX moved nicely off closing at an all-time low on the previous Friday.   The long funds suffered a bit despite VIX moving higher as a reminder that VXX is not VIX.

 Weekend Review of Volatility Indexes and ETPs – 12/24/2017 at vixtrade.com

Usually the holiday season with the extra days off results in volatility indexes suffering a bit of a head wind.  I was surprised to the point of double checking numbers before posting the table below as I would have expected more indexes lower than higher last week.

 Weekend Review of Volatility Indexes and ETPs – 12/24/2017 at vixtrade.com

UVXY hasn’t had a very good 2017, which is being polite.  At least one trader thinks UVXY will not be gaining any of the losses back next week.  With 2 minutes left in the day and UVXY at 10.10 a trader sold 600 UVXY Dec 29th 10.00 Calls for 0.43 and then purchased 600 UVXY Dec 29th 12.50 Calls for 0.14 taking in a credit of 0.29.

 Weekend Review of Volatility Indexes and ETPs – 12/24/2017 at vixtrade.com

Note in the payout diagram above, UVXY only needs to drop 0.10 or more.  Considering that UVXY dropped 36 of the last 50 weeks and the average weekly performance being down over 4%, this trade makes some sense.  Barring a year end volatility event things should work out as hoped for this trade.

 Weekend Review of Volatility Indexes and ETPs – 12/24/2017 at vixtrade.com >