For guys like me that live, die, eat, sleep, walk, and talk VIX, the past couple of days have been of great interest. At one point I checked my twitter feed and the top six tweets were VIX related. That either says something about the people I follow or that everyone was watching VIX trading today. It’s probably a combination of both.
In VIX Options the volume was a little higher than normal with 738,000 contracts trading. Lately volume had been in the farther months as there seemed to be a market focus that the next volatility “event” would come around April or May. Today the big volume was in March and April options. Also, I found it interesting that there was a lot of Put activity. Collectively 164,000 of the March 13, 14, 15, and 16 Puts traded today. There was also big interest in the VIX Mar 20 Calls with 64,000 contracts trading and the VIX Mar 25 Calls with 44,000 contracts.
The futures activity was very interesting and a day of day change for the curve shows up below. Note how the spot index moved relative to the front month March future (circled in green). VIX was up as much as 10% on the day topping the 16.00 level for a while before backing off to up 3.7% (0.54) on the day with the late afternoon rally in the stock market. March futures were actually lower (along with some other futures) with VIX higher periodically during the day. March settled at 15.50 only up 0.10. That’s an indication that the futures guys do not see a much higher VIX over the near term as it represents only a 0.28 premium to the spot index.
A final note, VIX futures volume was 196,008 – the third busiest day on record. Only 1/2/2013 and 12/31/2012 with 221,323 and 212,800 respectively were busier days.