Last week the open interest for call options on the CBOE Volatility Index® (VIX®) surged to more than 7.5 million contacts (see chart below).

In a recent article at, reporters Joseph Ciolli and Inyoung Hwang wrote –

“Going long market turbulence has surged in popularity in the last nine weeks, with investors sending an unprecedented $3.2 billion into securities that reap gains from wider price swings. That pushed shares outstanding on exchange-traded notes tied to the Chicago Board Options Exchange Volatility Index to a record …  [Some derivatives strategists] attribute the positioning to investors who still doubt the staying power of a stock market runup that’s added more than $2.5 trillion to share values. [But others believe] the opposite is true: the increase is equity bullish, with investors simply protecting their expanding wagers on stocks. …  The VIX has traded below 20 for 37 straight days, the longest such streak in 13 months. … “ 



As shown in the two charts above –

  1. The open interest for VIX call options ranged between 2 million and 4 million contracts in the first quarter of 2015, but last week the open interest topped 7.5 million.
  2. It is interesting to note the relationship on various dates of the top chart (with open interest for VIX calls and puts) to the bottom chart (with price levels for the SKEW, VVIX and VIX indexes). Note, for example, that when the CBOE VIX of VIX Index (VVIX) spiked (e.g., in Jan. 2015 and Aug. 2015), the open interest for VIX puts often rose and the open interest for VIX calls was lower when compared to other nearby months. In times when the both the VIX Index and VVIX Index are at relatively low levels, the open interest for VIX calls could rise because some investors may believe that a long position in VIX calls could be a form of cheap portfolio protection in the event of a market crisis.

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