After showing some signs of life VIX fell back to a single digit closing handle three out of four days last week. The curve shifted in a very parallel fashion as even the longer dated futures gave up some ground.
The trade of the week is a simple yet effective strategy. ON Monday morning as VIX was trading around 11.20 there was a buyer of the VIX Nov 22nd 13 Puts for 1.70. Remember VIX options are priced off the corresponding futures contract, but settle in a calculation of VIX. I’m rooting for the trader behind this one to have held through expiration. If they held to Wednesday’s AM settlement the payout was 3.26 for almost a double in two days. It appears someone’s kid might be getting the GI Joe with the Kung Fu grip this year.