This Week in VIX Options and ETPs – 3/28/2014

The S&P 500 lost value last week and so did all four of the volatility indexes that CBOE calculates using SPX options as the underlying market.  Granted the SPX finished on a positive note after dipping a few times over the course of the week and maybe the VIX reaction to market activity is that nothing seems to be able to push this stock market lower.  I did find VXST and VIX both closing at the same price as a curious anomaly and since VXST is so new I’m not sure how to read that.


On Friday morning there was a neutral to bearish VIX player that sold the VIX Apr 16 Straddle for just over 2.20 which gives them a profit is April settlement falls between 13.80 and 18.20.  Also there was a seller of the VIX Apr 17 Calls for 0.66 which will work out at April expiration if settlement comes in at 17.66 or less.

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Russell Rhoads, CFA

CBOE Options Institute

Russell Rhoads, CFA, is a Senior Instructor with the Options Institute at the Chicago Board Options Exchange. He joined the Institute in 2008 after a career as an investment analyst and trader with a variety of firms including Highland Capital Management, Caldwell & Orkin Investment Counsel, TradeLink Securities and…