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

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New Daily Volume Record of 2.61 Million for VIX Options, as Investors Engage in Hedging and in Short VIX Futures Trades
By: Matt Moran | September 26, 2017

On September 25th a new daily volume record of 2.61 million contracts was set for options on the CBOE Volatility Index® (VIX®), as the VIX Index rose 6.5% to close at 10.21 that day.

TOP TEN VOLUME DAYS FOR VIX OPTIONS

Four of the top ten days for VIX options volume occurred in 2017.



NEWS COVERAGE OF TRADING ACTIVITY IN VIX OPTIONS AND VIX FUTURES

Recent news coverage has highlighted investor use of both VIX options and VIX futures.

A September 25 news story in Reuters entitled “VIX options volume jumps as trader hedges against stock market sell-off” noted that –

“ …More than 2 million contracts changed hands in a spread trade, the largest ever in VIX options, according to Trade Alert data. A trader bought about 261,000 Oct. 12 puts and sold the same number of Oct. 15 calls and twice as many of the Oct. 25 calls. At the same time, the trader sold 261,000 Dec. 12 puts and twice as many Dec. 25 calls, to buy 261,000 Dec. 15 calls. … The net effect of the trade was to position the trader for a lift in the VIX to the 15-20 level by December. …”

A September 25 Moneybeat blog at wsj.com entitled “Back in Vogue: Betting on the VIX to Fall” noted that --

“ …Hedge funds and other speculative investors ramped up bearish bets on the CBOE Volatility Index, or VIX, to the most in over a month, according to data from the Commodity Futures Trading Commission. Net bearish bets on the VIX outnumbered bullish bets by the group by 96,601 contracts for the week ending Sept. 19. Those investors had 70% more short bets than long bets on the index for the week ending Sept. 19. … “

PRICE CHART – VVIX AND VIX INDEXES

For purposes of analyzing trading activity in VIX options, the CBOE VIX of VIX Index (ticker VVIX) can serve as a useful metric because it is a measure of the market’s expectations and is an indicator of the expected volatility of the 30-day forward price of the VIX.

Over the past decade, the average daily closing values were 87.7 for the VVIX Index and 20.4 for the VIX Index. However, more recently, (as shown in the chart below), from August 25 through September 25, the average daily closing values were 11.3 for the VIX Index and 96.8 for the VVIX Index.



http://www.cboe.com/blogs/options-hub/2017/09/26/new-daily-volume-record-of-2.61-million-for-vix-options-as-investors-engage-in-hedging-and-in-short-vix-futures-trades

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