Weekend Review – VIX Options and Futures – 9/5 – 9/9

The streak of SPX doldrums came to an end on Friday with the orderly drop of over 50 points for which resulted in VIX rising to 17.50.  Everything worth noting happened on Friday which may have added to the angst that resulted in the S&P 500 closing near the daily lows and VIX closing near the daily highs.

VIX Curve Table

Early Friday when VIX was at 13.93 and the big move was just getting started there was a split strike trade that came into the pit.  With the October future at 16.35 a trader sold over 12,000 VIX Oct 13.50 Puts for 0.31 and then purchased the same number of VIX Oct 25 Calls for 0.64 and a net cost of 0.33.  The payout shows up below.


As noted at the beginning of this blog the October VIX contract settled at 17.875 or over 1.50 higher than when this trade was executed.  This led me to check closing prices for the two options in this spread.  The 13.50 Puts could be repurchased for 0.35 and the 25.00 Calls sold at 1.00.  Therefore, the spread that cost 0.33 to enter finished the day at 0.65 or a penny under a double.