Weekly Review – Russell 2000 Index and Volatility – 11/30 – 12/4

I put a blog up a couple of weeks ago about the Russell 2000 (RUT) usually doing well in December on both an absolute and relative basis.  Although it is early, small cap stocks as represented by RUT have dropped 1.23% while the Russell 1000 (RUI) is up 0.40%.


The RVX / VIX premium has been zig zagging with the rest of the equity market action and finished the week close to this year’s average of 18% after dropping down to 10% on Thursday.  Confusion seems to abound regarding equities and it shows on the far right side of the chart below.


In my dig for trades to talk about I came across something interesting toward the end of the day on Friday.  There was a buyer of 1500 RUT Dec 700 Calls who paid 482.00 and then also sold 1500 RUT Mar 700 Calls who received 476.30 for those options.  The net result was a debit of 5.70 per spread.  This got me to doing some digging and low and behold, it’s not a spread, it’s a roll.  Apparently a short position is being taking on RUT by selling deep in the month calls.  Since things appear to have not worked out yet, the trader expanded their time frame by rolling out to March.