Weekly Review – VIX Futures and Options – 11/30 – 12/4

The VIX curve shifted lower on the week after a scary Thursday and quick recovery on Friday.  I do find it interesting that VIX is slightly under 15.00 instead of in the 12’s after a 40 point move in the S&P 500.  I guess the story clouds are going to keep the lows for VIX at higher levels over the near term.

VIX Table

The blip on the VIX short term future chart that keeps moving to the left is the December 23rd contract.  The holiday effect that we use to note for December futures every year is now showing up on the Weeklys.

VIX ST Table

Some traders are conditioned to sell the spikes on VIX and that’s OK as long as it is done prudently and with some protection.  On Thursday with VIX and the December future in the 18 range someone did just that.  There was a seller of the VIX Dec 19 Calls for 1.66 who also purchased the VIX Dec 35 Calls at 0.22 and a net credit of 1.44.  I wouldn’t say the 35 Calls give much protection since the downside to this trade is 14.56, but it would come in handy in the case of a 2008 type volatility situation.  Thursday VIX went out at 18.11, but dropped pretty quickly on Friday to finish the week at 14.81, so far so good for this volatility seller.

VIX PO