VIX had a pretty stellar week, aided by the new on Friday, to finish over 20% higher. Spot VIX may be buying into a new scandal, but the futures did not. The curve is as flat as it has been in months which tells me traders expect this move in VIX to be short lived.
We are all aware that VIX made a little move on Friday as new of a new chapter in the Clinton email saga commenced. As the week came to an end on trader took advantage of a rise in VIX and the December futures contract to place a pretty basic trade. With VIX at 16.19 and the December contract at 17.05 there was a buyer of just over 4,000 VIX Dec 16 Puts for 1.45.
I know that’s short of exciting, but the December futures always are a bit of an anomaly based on holiday calendar. We have Christmas, New Year’s, and MLK holidays between December VIX settlement and the S&P 500 options that determine the settlement price. It may be a trader has been waiting to pounce and purchase Dec puts. Friday’s new reaction may have given them that opportunity.