OptionsHouse

Options Trading News

January 3, 2013  Thu 1:47 AM CT

VXX: SEE CHART GET CHAIN FIND STRATEGIES
The VXX volatility exchange-traded note tumbled to a record closing low yesterday amid heavy option activity.

The iPath S&P 500 VIX Short-Term Futures ETN saw more than 454,000 options change hands, according to optionMONSTER systems. Puts outpaced calls by almost 2 to 1 as traders played the downside in the fund and its underlying futures.

The first large trade came when 15,000 June 19 puts were bought for the ask price of $0.93 and the same number of June 17 puts were sold for $0.46. The trade was done again in the afternoon in the same volumes for $1.25 and $0.77 respectively.

Both of these vertical spreads were opened for $0.47, which is the maximum risk, while the maximum gain of $1.53 would come if the VXX is below $17 at expiration in mid-June. The open interest at each strike was below 80 contracts at the start of the day, so these are clearly new positions. (See our Education section)

The VXX is based on the two nearest-month VIX futures, which saw January contracts close at  15.55 and February futures at 16.75, while the spot volatility index finished the day at 14.68. Those increasing premiums are the reason that the VXX suffers from structural headwinds.

The VXX was down 11.82 percent yesterday, closing at $28.05. It was above $36 during Monday's session and has given up its gains of the previous two weeks just in the last two days.
Share this article with your friends


Related Stories

VXX

Call selling hits VXX volatility fund

January 20, 2015

Call selling sees limited upside in the iPath S&P 500 VIX Short-Term Futures Note, which hit an all-time low in mid-December.

VXX

Trade sees ceiling on volatility fund

January 15, 2015

The iPath S&P 500 VIX Short-Term Futures Note has seen some big swings in the last month, but one trader is betting on a ceiling for the fund.

VXX

Huge trade bets on lower volatility

January 6, 2015

A large trader is looking for a cap to volatility by selling calls in the iPath S&P 500 VIX Short-Term Futures Note.

Invest Like a Monster - Las Vegas: March 13-14

Premium Services

Archived Webinar

Option Money Machine Winter Classic

Education & Strategy

The rolling technique

In the January 7th edition of Advantage Point, we initiated the purchase of a second week-out GOOGL 535 put at...

View more education articles »