"Also of interest is CBOE Volatility Index (VIX - 10.85) futures call open interest, which -- at 7.1 million contracts -- comes into this week at its highest level since August 2015. But on Wednesday morning, more than 3 million of those calls, or 45%, are set to expire. As I said last month, it is usually after a huge number of VIX calls expire that we are most vulnerable to a volatility pop, and volatility pops usually occur in the realm of market weakness.
"The latest Commitments of Traders (CoT) data shows large speculators' short positions on VIX futures are coming off a record level -- and if some of these speculators have February VIX calls as a hedge, that means the hedge is no longer in place as of this Wednesday. And the last time large speculators began covering from a record short position, in September 2016, the VIX spiked, as you can see on the chart below. This is a risk worth keeping on your radar, especially if the market gets spooked by the Fed or by disappointing news out of the White House."
-- Schaeffer's Senior V.P. of Research Todd Salamone, Feb. 13
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