Today was the 10th busiest day ever for VIX option trading with volume of 940,774 contracts changing hands. Most of this was on the call side with 777,704 calls trading and only 164,201 puts trading. One big trade contributed to almost half the volume (see #3 below).
VIX Futures trading was very strong today as well with 102,202 contracts traded. With four trading days left November volume is at 2,317,375 or 126,503 contracts short of a record volume month. As average volume has been 136,316 in November there is a pretty good change November is going to be a record month for trading at the CFE.
I got a heads up from the ever vigilant Marty Kearney that a big transaction rolled through the VIX options pit this afternoon. A customer came in and sold 106,000 VIX Dec 23-35 Call spreads and purchased 106,000 of the VIX 25-35 Call spreads. They did this transaction for a net cost of 0.29. It appeared that the December side of the equation was closing out a trade while the January spread was an opening transaction. This means that the customer took upside exposure to VIX and moved it out from December expiration (December 19th) to January 2013 expiration (January 16th).
For those that think the situation in Washington, DC is not going to get worked out or that there will be an increase in SPX implied volatility going into the end of the year, a position that is long volatility such as this VIX Jan 25-35 Call spread may be worth taking a look at.
Here’s a peek into what the VIX Pit looks like on a daily basis –