VIX finished the week at 13.20 – only 0.10 higher than lowest 2016 close of 13.10.  The front month (July) futures contract was down slightly more than VIX this past week.  Anecdotally I’ve noticed in the past when we see VIX down significantly in reaction to the employment number that the front month contract seems to give up extra value.  I attribute this to a lack of anticipated market news after the employment number until expiration.

VIX Futures Curve

At least on trader believes VIX is going to remain at low levels over the next couple of weeks.  With VIX at 13.56 and the July VIX contract at 15.20 there was a seller of 3,000 VIX Jul 16 Puts at 1.45 who also purchased 3,000 VIX 17 Puts at 2.29 and a net cost of 0.84.  As long as VIX remains under 16.00 into expiation this trade will result in a profit of 0.16 and the worst case scenario is for VIX to finish over 17.00, both options expiring with no value and the 0.84 cost resulting in a loss.