Weekend Review – VIX Futures and Options – 5/23 – 5/27

With the strength in stocks last week VIX finished the week just 0.02 higher than the 2016 closing low of 13.10. Always remember that part of the equation on Fridays when looking at VIX performance relates to a weekend impact where the market is closed for two days. This is accentuated when we have a three day holiday weekend so don’t be surprised if VIX rebounds a little on Tuesday regardless of what the stock market is doing.

VIX Table Curve

About 20 minutes after the open on Wednesday last week someone came in and placed an order that has my attention. With VIX at 14.15 someone bought the VIX Jun 1st 16 Calls for 0.35 and then also sold VIX Jun 15th 18 Calls for 0.63 and a net credit of 0.28. Since we all know that the best underlying for a VIX option contract is the corresponding future I should note that the June 1st VIX future was at 15.10 and the June 15th contract was at 16.15. This may be a case of a trader taking advantage of the price difference between the June 1st and June 15th futures using options as a substitute.