Weekly Review – VIX Futures and Options – 12/14 – 12/18

VIX gave up 15% last week, despite the S&P 500 losing a little and this index trading in a range of greater than 80 points for the second consecutive week.  Consensus thinking is that with the Fed finally hiking rates a little uncertainty came out of the markets.  Of course Janet Yellen’s press conference was still in full swing when market pundits started discussing when the next potential rate hike may occur.

VIX plus Table

The curve depicting the short dated VIX futures contracts flattened out and the Dec 23rd bump moved to the forefront.  The Dec 23rd contract was the only one on the board to settle below 20.00 this past week.  However, there was a trader lurking around both Thursday and Friday who seems to think settlement will be in the 20’s on the open this Wednesday.

VIX ST plus Table

On Thursday morning I came across a buyer of the VIX Dec 23rd 20 Calls at 0.80 who was also selling the VIX Dec 23rd 22 Calls at 0.40.  This was all going on while VIX was around 19.00 and near the low of the week.  On Friday the 20 Calls that settle on the open this coming Wednesday were continuing to get some love as almost 24,000 traded.  Some were pure purchases and other trades consisted of selling the 23 Calls.  Regardless of the structure someone is looking for volatility to remain high, at least for the first part of the coming holiday week, despite this being a holiday week.


As a final note the call open interest for VIX Weeklys is truly impressive.  Doing quick math the open interest for the Dec 23rd Call side of the board was over 130,000 contracts.  That’s impressive, but even more so when we are entering the holiday season which is supposed to be a time of focusing on family and not volatility.