This Week in VIX Options and ETPs

Due to the continued weakness in VIX and shape of the futures curve long VIX related ETPs continue to come under pressure. The widely followed VXX lost over 9% last week as VIX broke 13.00 and the front month futures were at a discount of about 1.50 throughout the week. The combination of these two factors is never a positive for the exchange traded products. VXZ held up as the longer dated futures contracts were not under the same pressure as the near term VIX futures.

As all traders are probably aware of, VIX broke 13.00 this Friday, but that did not slow down out of the money call buying as a recurring buyer showed up throughout the week buying VIX Feb 20 and VIX Feb 24 Calls. Another trade of note that was spread throughout the week was a buyer of the March 20 / 30 Call Spread. I was in the pit Friday morning when 30,000 of those spreads were bought at 0.925.