VIX dropped last week, with a big part of the drop coming Friday afternoon. Note the futures followed suit, but specifically note that the front month May future gave up a little more ground than spot VIX. This is sort of common when we have an employment number. Also note how flat the curve is from July through November – the theory is that the Fed is out of play between the conventions and the election which may result in relative calm for the financial markets.

VIX Curve Table

Late Thursday a trade looking for some sort of move higher out of VIX and May VIX futures showed up at CBOE. There was a buyer of 500 of the VIX May 18th 23.00 Calls for 0.29 and sold 750 of the VIX May 18th 32.50 Calls for 0.07 each. Breaking this down to a smaller size they bought 2 of the 23.00 Calls for 0.29 and sold 3 32.50 Calls for 0.07 each – a net cost of 0.37 for each 2 by 3 spread.   As mentioned the trade occurred Thursday so the corresponding prices are Thursday’s as well. They didn’t get the volatility spike on Friday after payrolls, but they still have about a week and a half before time runs out on this trade.