Weekend Review – VIX Options and Futures – 8/1 – 8/5

VIX was down 4% last week and is currently hovering around two year lows. This is not exactly what many volatility observers were expecting for 2016 (including the author). VIX has been at pretty low levels for a couple of weeks and since there’s been no real spike VIX futures are finally working lower.

VIX Curve Table

Friday was the one-year anniversary of the first VIX Weeklys Futures settlement. On August 5th last year the first VIX Weeklys Futures contracts settled on the open at 12.16. Apparently some traders are expecting a low VIX settlement again next week and expressed this outlook by purchasing VIX Aug 10th 13 Puts on Friday. There were several lots trading between 0.90 all the way up to 1.05 Friday which if held to expiration means VIX settlement next week needs to be at least 12.10 or even as low as 11.95, depending on what price was paid for the 13 puts.

VIX Chart