VIX Trading Today

On the last day of trading for volatility related futures and options that expire tomorrow morning there was a ton of activity in both markets. Today was a record volume for VIX Options trading with 1,392,621 contracts traded, just 2,000 more than were traded on February 26th of this year. 298,781 VIX Futures changed hands today for the third busiest day on record. Things were busy as well for the exchange traded product area where VXX volume was over 105 million shares for the second busiest day on record along with the second time this year the volume for this ETN was over 100 million shares. VXX options were also active with almost 370,000 contracts traded.

A few notes about the price action today. First VXX was unchanged on the day. Remember this ETN holds a portfolio consisting of the front two month futures contracts. That would now be the April and May futures. April futures were flat today and May was actually the only VIX futures to lose value. The table below shows the net change for all VIX futures today.

As mentioned today was the last day for March futures trading. It was interesting to see the futures close at a 0.41 point premium to the index. We shall see if any overnight news impacts VIX settlement in the morning. I’ll be waiting by my quote machine to report the settlement prices when they are determined for all volatility products.

I was surprised to see the VIX option volume that traded today in March options. A rough estimate has about 800,000 March options trading day. I big portion of these trades were in at the money or near at the money puts and calls. When I flipped over to April the volume was much lighter than in March. The same issue held true when I looked at the May contracts. It appears that the March trades were not being rolled out to April. Maybe traders are waiting for a drop in VIX to put on new positions as opposed to just rolling out after VIX has climbed so much in the past two days.

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