Weekend Review – VIX Futures and Options – 4/4 – 4/8

A week ago Thursday I was in Arizona speaking to an investment club and was asked if VIX would hit the 12’s anytime soon. I said I didn’t think so and the following day VIX came within a penny of a 12 handle. This week I was spared a trip to the wall of shame as VIX worked 17% higher to finish at 15.36. The futures were at a nice premium before this week so the front month April contract, which expires on the open April 20th, rose only 8% as the curve flattened slightly after spending a couple of weeks in steep contango.

VIX LT Curve

I was searching around for trades using VIX Weeklys options earlier today and came across a sell of about 6,000 VIX April 13th 16 Puts for 0.82. I noticed that the open interest for this contract was a little over 7,000 so I did a bit of digging and found out this appears to be the exit side of a pretty darn good trade. Back on March 11th a similar number of VIX April 13th 16 Puts were purchased for 0.29 in a trade that appeared to be looking for lower volatility. Well lower volatility is what they got as the chart showing the April 13th VIX Weeklys Futures shows, along with the entry and exit date for that put trade being highlighted.

VIX Put Trade