VIX closes over 20 for first time in July
Chris McKhann | email@example.com
The VIX closed at 20.47, up 1.85 points, or 9.95 percent. It ticked to 21 exactly as the S&P 500 was below 1330 but fell when the market bounced on news that the Fed was closer to making a stimulus decision. The SPX ended the day at 1338.31, down 12.21 points, or 0.9 percent.
The VIX futures rose but by declining degrees. The August futures were up 1 point, or 4.8 percent, to 21.80. The September futures gained 0.80 to close at 23.10.
More than 446,000 VIX options traded, dominated by 374,000 calls. The iPath S&P 500 VIX Short-Term Futures ETN (VXX) saw 245,000 options change hands, led by 133,000 calls. The VVIX Index, which measures the implied volatility of the VIX options, was up 4 percent to 111.65.
The big trade in the VIX options came in the September calls. A trader sold 35,000 September 28 calls for $2.10 against open interest of more than 67,000 contracts. At the same time, he or she bought 35,000 September 42.50 calls for $0.66 at volume that was almost 3 times the open interest at that strike.
This could be a credit spread betting that the VIX will be below 28 going into that September settlement. It could also be a trader rolling a position higher, selling the 28 calls to close that position and buying the higher strike to replace it.