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

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Block Trade Analysis - Buyer of 100,000 VIX Oct 17 Calls
By: Russell Rhoads, CFA | September 27, 2017

Another big bullish VIX trade came into the pit today, with VIX just over 10.00 and the October futures at 12.20, a buyer of about 100,000 VIX Oct 17 Calls came into the market paying 0.45 for the whole lot. The trade got divided up around the pit in several pieces, which shows up in the time and sales from LiveVol below.



There’s just under 3 weeks October 18th when these options settle on the market open so the buyer is either speculating on a volatility spike, or guarding against one using long VIX exposure as a hedge. The comment I heard in the VIX pit was, “This seems a little unusual”, probably as most long volatility plays come in the form of a spread to lower the cost of the trade. Either way, it’ll be interesting to keep an eye on the 17 line for the next few weeks.

http://www.cboe.com/blogs/options-hub/2017/09/27/block-trade-analysis---buyer-of-100-000-vix-oct-17-calls

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