This Week in VIX Options and ETNs

The S&P reached the 1500 level and then some this week. The interesting action is that VIX and VVIX were higher as well. It’s odd to have the top line of the graphic below all the same color, but SPX, VIX, and VVIX.  VIX held up in a higher S&P 500 market Friday which was attributed to a next week being a big news week. Next week consumer confidence, GDP, and employment numbers come along with their being an FOMC meeting.

One of the more interesting trades this week involved a pretty complex spread. There was a big buyer of VIX Apr 17 Puts and VIX May 22 Calls that was selling VIX Feb 19 Put and VIX Mar 24 Calls to help offset some of the premium. Also on Thursday there was a buyer of 100,000 VIX Feb 16 Calls which came in as VVIX was around 71. This buying pressure help push VVIX up to 80 from 71. VVIX settled Thursday at 76 after a wide range based on VIX option buying. Usually the front two month options have the most trading interest, however, due to the debt ceiling timing being pushed out to May, May options are seeing more activity than one would expect in late January. The VIX May 20 and May 22 Calls are already trading heavily.