The CBOE Volatility Index pulled back from its intraday highs yesterday but still closed over 20 for the first time this month.
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.
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