VIX worked its way lower Friday as the stock market rallied. We have grown accustomed to VIX below 10.00 and settlements below 10.00 as well. However, for the first time I can recall, we had a VIX futures contract close below 10.00 with the December future that expires next week settling at 9.925.
Thursday, with VIX around 10.05 and the Dec 27th future at 10.65 someone came in and put on a bearish VIX trade using the Dec 27th Weekly options. They sold 300 of the VIX Dec 27th 12[...]