This Week in VIX – 8/8/2014

VIX was lower on the week by about 7%. However, from the close Monday to Friday VIX actually worked a bit higher and without Friday’s very impressive rally VIX may have finished the week higher. Looking at the chart below I find the highs on Thursday and Friday pretty interesting.   The highs surpassing last week’s close  show some market concern during the day, but calm took over before they turned the machines off for the weekend.

VIX PA

T

The VIX curve only had one big mover and that would be the index. The futures discounted a move lower for VIX and for the umpteenth time in three years the futures got it right. Speaking of three years, I found it interesting that no one seemed to mention Friday was the three year anniversary of the last real ‘volatility event’ on 8/8/2011 – on that day the S&P 500 dropped 6.66% (you can’t make some things up) and VIX went from 32.00 to 48.00.

VIX

On Thursday there was an interesting August option trade that came in mid-morning. Someone bought 12,000 VIX Aug 16 Puts, sold 12,000 VIX Aug 15 Puts and then sold 24,000 more VIX Aug 14 Puts receiving a credit of 0.12. Let’s just say someone is really hoping for VIX settlement to come in right at 15.00 on August 20th.