VIX was up as much as 20% for the week based on Thursday’s high. A bullish stock market reaction to the employment report on Friday turned what looked like a rewarding week for long volatility positions into another quick spike and resumption of lower volatility. Those that took advantage of elevated VIX on Thursday were quickly rewarded by the end of the day Friday (more on this below).
The curve below just sort of made me laugh. What in the world can I say about it other than it looks more like an hour over hour shift in the VIX term structure than a week over week change.
I was on the lookout for volatility sellers on Thursday and had many choices among trades coming through the VIX pit. Mid-morning Thursday there was a relatively large seller of VIX Oct 15 Calls at 2.53 who purchased the same number of VIX Oct 20 Calls for 0.93 and a net credit of 1.60. By the close on Friday the Oct 15 Calls were offered at 1.35 and the Oct 20 Calls could be sold for 0.40. The trade looks good as long as VIX is under 15.00 at settlement on October 22nd.