Well after griping this weekend about VIX trading not giving me anything to write about the tiny country of Cypress chose to take some actions that really got the markets going. VIX rose 18% from 11.30 to 13.36 and the very near month March futures gained over 9% on the day to close at 13.70. The disconnect in performance here is due to the premium March was at on Friday relative to the index along with the fact that March futures have only one more trading day until they expire on Wednesday morning.
Things were busy in VIX trading today. The CFE is reporting that VIX futures volume came in at 233,143 contracts. This is the third busiest day on record behind February 25th and 26th this year. According to a tweet from Jon Najarian VXX option volume was also strong today with over 238,000 contracts changing hands versus an average day of 110,000. The busiest option market for volatility related options is the VIX Index arena and today 925,000 contracts traded which is a little over 150% of a normal day’s volume.
An interesting trade that showed up in the VIX option pit appears to have a bullish outlook into April. Over 100,000 VIX Apr 20 Calls were purchased while it looks like a comparable number of VIX Apr 25 Calls were sold for a bull call spread that cost around 0.30. A spike in VIX over 25.00 into April expiration would provide a payout of 4.70.
Below is today’s action with the day over day change in the VIX curve, a table showing the price changes between Friday and today. Finally, because the day over day change does not tell the full story (anyone glued to their screens today can attest to that) there is an intraday chart of VIX lifted from the CBOE’s website included as well.