Options Trading News

The CBOE Volatility Index closed well above the 22 level yesterday but was off the session highs even as the S&P 500 ended at its lows.

The VIX was up 0.30 points, or 1.37 percent, to 22.27. It rose for most of the day and peaked at 22.69 in the afternoon. The SPX steadily declined throughout the session, closing at the day's low of 1324.80. The two indexes usually move inversely.

The May VIX futures settled at the open at 21.46. The now-front-month June futures climbed 0.50 points to finish at 24.40, while the July contracts rose 0.67 points to 25.45. The heaviest volume in both futures hit at the close, apparently because VIX-based exchange-traded funds were rebalancing.

The VIX options traded more than 702,000 contracts, dominated by 572,000 calls. The most active contracts were the June 30 and 35 calls, but the biggest trade of the day came in a calendar spread.

A trader sold 29,750 July 26 calls for the bid price of $3.60 and bought the same number of the August 26 calls for $4.36. The volume was about twice the open interest at each strike, so this was a new spread.

Given the unique nature of the VIX options, priced off their corresponding futures, this could be a risk-managed way of betting that the June futures will fall from their current levels.