The Week in VIX – 11/24 – 11/28

The S&P 500 has now closed at record highs on 47 of the 230 trading days in 2014. Two of those records were set last week before the market dropped during the short post-Thanksgiving shorted session. The lone green bar below coincides with a 5 point drop in the S&P 500 on Friday.


VIX ended the week slightly higher and the curve hardly budged. I’m sure there is some sort of Thanksgiving too stuffed to move analogy I could insert here.   December’s premium at about a point and a half if pretty high considering the time of year and the holiday effect we usually experience for VIX in December.

VIX Curve

At least one trader showed up and put on a pretty interesting VIX spread trade on Friday. They purchased VIX Dec 18 Calls at 0.70 and at the same time sold VIX Dec 14 Puts at 0.35. The specific trade sold 2 of the puts for each call so the net was at even (no cost). The payout, if held to December expiration, shows up below. However, I expect if there is some sort of spike in VIX this plan would be to exit quickly.

VIX PO Fixed