VIX Option Volume Skyrockets

CBOE Volatility Index (VIX) option volume saw its second busiest day ever on Monday

Jul 14, 2015 at 10:07 AM
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As we have noted, the CBOE Volatility Index (VIX) has hit some notable milestones recently. Last Thursday, the market's "fear gauge" jumped to its highest point -- 20.05 -- since Feb. 2, bringing its year-over-year level above 70%. 

And then there's yesterday's VIX option activity. As you can see below, Monday saw the second most VIX options traded since its inception. This chart comes courtesy of Schaeffer's Quantitative Analyst Chris Prybal.


VIX Volume


The VIX volume record was set back on Feb. 3, 2014, when roughly 2.4 million contracts crossed. On that day, VIX closed at 21.44. For comparison, VIX closed Monday at just 13.90, shedding 17.4% on the day -- and breaking below a key level noted by Schaeffer's Senior VP of Research Todd Salamone in this week's Monday Morning Outlook -- with over 2.1 million option contracts traded.

Looking at yesterday's details, call volume ran at nearly four times the expected intraday pace. It appears much of the volume was courtesy of one trader, who rolled out her bullish bet. Specifically, it appears the speculator rolled a mega ratio spread at the August 17 and 23 calls into a spread at the September 16 and 22 calls. 

 

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