iPath S&P 500 VIX Short-Term Futures ETN (VXX)

[risk on]

"not nearly as many puts were shed in anticipation of a perceived spy move up "

Meaning people didn't let go of, or sell , puts to the point one may expect were this spy move up something the market thought would be sustained. Because if they thought today was the start of a real move up going forward, they would of fled puts en mass . Really kind of guess work. But on days where we see spy move up by much less % . We have seen VXX drop by much more than 2%. Probably because on those days mentioned , the zeitgeist was that the spy move up would continue , and puts would be shed immediately and calls would be bought, abs that move ( switch) would be represented in VXX price, we didn't see that dramatic of a switch in my estimation , hence why VXX didn't drop by that much.