The VIX Options Volume Record That Might Surprise You

Cumulative 20-day VIX call volume is at record levels, but put options are also unusually popular

Aug 16, 2017 at 3:20 PM
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After last week's short-lived -- but dramatic -- stock market sell-off, a couple of the options trading indicators we track here at Schaeffer's have registered noteworthy extremes. And while it's not particularly shocking to see that equity put option volume has approached election-era highs, you might be surprised to see how traders have been playing VIX options.

Equity put/call volume ratio revisits November 2016 levels

First up, we have the 10-day equity-only buy-to-open put/call volume ratio, based on activity from the International Securities Exchange (ISE), Chicago Board Options Exchange (CBOE), and NASDAQ OMX PHLX (PHLX). This ratio measures how many puts investors have bought relative to calls -- and it's limited to equity activity in order to filter out option volume on exchange-traded funds (ETFs) and indexes, both of which are frequently used as hedging vehicles.

Per the chart below, Schaeffer's Quantitative Analyst Chris Prybal reports this 10-day put/call ratio now stands at 0.677, which is the highest such reading since Nov. 15, 2016 -- when this metric was still accounting for investors' pre-U.S. presidential election anxiety. In other words, the current ratio is reflecting a fairly healthy dose of bearishness on the part of options traders.

put-call ratio with spx 0816

VIX put volume closes in on 2-year high

Last week's near-miss with a nuclear crisis prompted record options volume for the CBOE Volatility Index (VIX), with traders loading up on August 17 calls in particular. With today's VIX options settlement arriving at just 12.95, it seems safe to say that we didn't quite get the lasting volatility pop some speculative players were bracing for.

That said, record-high VIX call volume is overshadowing another storyline in the volatility options pits -- a nearly two-year high in cumulative 20-day VIX put volume. During the past 20 sessions, Prybal reports there have been 1.15 million VIX put options bought to open, which marks the highest such reading since 1.20 million in late September 2015. (Notably, that previous high-water mark occurred shortly after the August 2015 VIX eruption that carried the index to its reigning post-financial crisis high of 53.29.)

As a result, the fear index's 20-day buy-to-open call/put volume ratio has backpedaled to 3.20, which is the lowest reading since April 18, 2017. This decline in the ratio is particularly remarkable, given that the VIX call volume figured into this calculation stands at a record 3.64 million contracts.

vix call-put ratio 0816

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