Weekend Review – VIX Futures and Options – 6/27 – 7/1

The curve below is what happens when you have the biggest week over week drop for VIX on record. The 42% loss in VIX shattered the previous largest drop of 36.53% which occurred in the last week of 2012. Not so coincidentally both were weeks before a three-day weekend.

VIX Curve - Table

Late Monday, with the July VIX Futures at 23.70 and spot VIX at 23.85 someone came in taking a long position in the VIX Jul 20th 22 Puts paying 2.75. The payoff at July settlement appears below, but by the end of the week with both the July futures and spot VIX much lower the trade had an unrealized profit of 2.85 as the bid side for the July 22 Puts was 5.60 to end the day.

VIX PO