There are lots of articles floating around discussing the lack of volatility in the markets along with the low level of VIX. It’s reaching a point where we don’t have much else to say and are just waiting for a change of scenery. With all that going on, the four volatility indexes based on SPX option pricing remained low and on average were basically unchanged last week.
There is a single data point standing out on the table below. That is VVIX in the upper 90’s. Despite VIX being at such low levels for such a long time, there is strong demand for VIX options, especially on the call side of the board.
Short volatility dominance continues with SVXY up 127% for the year and both VXX and UVXY are down dramatically.
Across the suite of volatility indexes quoted by CBOE several rose last week, earnings season is putting some upward pressure on the individual stock volatility indexes. Silver, the Euro, and EFA (Developed markets outside of North America) were all leaders.
Late Monday, as VXX was spending a little time over 38.00 a trader used Weekly options to take a stand that the early week strength in VXX would not last. Specifically, they sold the VXX Oct 13th 38 Calls for 0.88 and bought the VXX Oct 13th 50 Calls for 0.11 taking in a credit of 0.77.
Since these options expired on Friday I can show the full outcome of the trade (if held through Friday’s close). VXX finished the week at 35.34 well below the short strike of 38.00 which places it safely in the profit zone.