Stop me if you think you've heard this one before, but… Everybody wants to buy some CBOE Volatility Index (VIX) calls! There's this, from Bloomberg:

"While the turmoil that rocked bond and currency markets in past weeks has been mostly absent from equities, it won't be forever, options traders speculate. 

They're building hedges against equity swings to levels not seen in eight months, according to contracts tied to the benchmark gauge for U.S. stock volatility. Judging by the most popular options, many of them are bracing for disturbances in the next six days.

… [A]bout 3.8 options protecting against a jump in the Chicago Board Options Exchange Volatility Index are held for each contract predicting a decline, Bloomberg data show. 

… [F]ive of the 10 most-owned VIX contracts are calls with strike prices as high as 23 expiring June 17, the last day of the U.S. central bank's June meeting." 

There was a also a huge call spread roll this week that bumped some of that open interest out to July, so basically there's a "bet" on both a very near- and not-quite-as-near-term  on a sizable VIX pop. And as Bloomberg notes, we've seen this before. Last time the open interest got this lopsided was September 2014, and it preceded a rather ugly October in the markets. 

As readers know, there's always a "bid" for VIX calls. We’re just at the higher end of that relative bid. On the one hand, it makes some sense. There's all these scary stories out there like Fed Hikes and Greek Defaults and yet VIX itself has barely budged. On the other hand … everyone always sees danger ahead, and always specs on cheap VIX calls. 

And then there's that pesky argument about whether it's "sharp" money chasing VIX paper, or "square" money -- i.e. John Q. Public hoping for a lottery ticket. And frankly, who knows? I always think contrarian first, especially when I don't see an ostensible reason for the behavior. But now? Eh.

As we've noted recently, volatility has picked up a bid in other asset classes, such as euro bonds and the actual euro. So why wouldn't you take a cheap shot at it sloshing over to VIX? The amount of money actually invested in VIX calls is incredibly low vs. any sort of asset class out there. Remember: All the spec is in cheap dollar calls. So yes, sentiment-wise I think it's a fade every time a crowd has the same idea. But we're just not talking enough of an overall "bet" for this to really have huge impact in that way, in my humble opinion. 

Disclaimer: Mr. Warner's opinions expressed above do not necessarily represent the views of Schaeffer's Investment Research.

Looks like the long awaited "Grexit" is here. Wahoo! (Full disclosure: I hate those made-up combo words like "Grexit" and "Brangelina" and "A-Rod.") 

What does it all mean? Well, I don't really know. 

I'm fairly certain it's mostly factored into the marketplace, since this story has hung around longer than the actual Greek Empire. The fear is that it has set off a disastrous chain of events a la the Lehman Contagion in 2008. 

The best case is, I suppose, that it's a contained non-event, especially as it pertains to us. Who knows? Maybe it ultimately pushes money out of German stocks and into U.S. stocks. 

The reality is very likely in the middle somewhere. Everyone's looking for a catalyst to set us into a bear move. Now we have one: Greece! Whatever effect a Greek default has on us will not materialize for a while, but if we happen to go into an ugly stretch now, well, we'll forever tie the stall/end of the bull to Greece. 

Upon first glance, it doesn't look like we're in a Panic Cycle just yet. The CNN Money Fear & Greed Index has tipped into Extreme Fear. 

But hey, don't blame options! We're the best factor out there -- Market Volatility is only in "Fear!"

Yes, it's hardly a swarm just yet. The CBOE Volatility Index (VIX) is in the 15s, and thanks to our recent wave of modestly higher volatility, we're nowhere near going overbought vs. the moving averages. The 10-day simple moving average (SMA) of VIX is a shade over 14 right now. We'd need to see VIX close above 17 to get it 20% above its 10-day SMA. 

That could happen today or tomorrow of course; it doesn't take much to get the Fear juice really going. That would actually be best-case scenario, in my humble opinion, if you're rooting for a rally. We're a jittery market in search of an extreme. Worst-case scenario is if we stay ugly, but not ugly enough, with options vol nudging higher in an orderly fashion. We saw that happen last fall and it took a while for the sell-off to play itself out. 

It's been a while since we went "officially" overbought. Our last VIX close 20% above its 10-day SMA happened in early January, so it's five-plus months in something that tends to happen about every 3-4 months. I'm bullish, or at least rooting for the bullish, but I'd rather see us just get this inevitable Fear Spike over with already. 

Disclaimer: Mr. Warner's opinions expressed above do not necessarily represent the views of Schaeffer's Investment Research.

If you're looking for another data point that suggests there's more fear and bearishness out there than meets the CBOE Volatility Index (VIX) Eye, there's this from Bloomberg: 

"Large speculators held about 12,000 more short positions in S&P 500 futures than long ones through June 9, according to data compiled by Bloomberg and the U.S. Commodity Futures Trading Commission. That's the highest amount of bearish bets relative to bullish ones since the five days ending Oct. 24. 

… [A]bout 8.5 percent of shares in the SPDR S&P 500 ETF Trust had been sold short as of Friday, the biggest proportion since Oct. 27, Markit Ltd. data show." 

It's always tough to know the whole picture when you see numbers like that. Are there more S&P 500 Index (SPX) shorts because there are more bullish bets somewhere else? Are hedges loading up on individual stocks and banking on their alpha-producing ability in a churning market? Maybe, but there's not any evidence of that. Are they shorting volatility vs. those futures shorts? Not exactly; it looks like they're also buying volatility.

Yada yada yada … It's probably safe to infer these are indeed bearish bets, or at least more aggressive hedges vs. pre-existing pitches, so it's a spike in bearish sentiment by the "sharp" money crowd. On the plus side, the money wasn't so "sharp" last time they tilted this bearishly. Here's the SPDR S&P 500 ETF Trust (SPY) since last September:

 

 

And as you can see, it was a very different backdrop last time they loved them some futures shorts this much. We were on the upswing of the "V" after a large drop, whereas now we're sitting in a frustrating and seemingly endless churn. 

In other words, there was ample reason to take a more bearish posture back in October, whereas now it's a never-ending attempt to front the lousy news that will surely knock us for a loop.

It might, but it's probably not going to start with the masses so well-positioned for it. This Todd Salamone guy, Schaeffer's Senior VP of Research, says it best: "This could be a longer-term tailwind as positions unwind and as we get some direction on the uncertainty we're facing."

Disclaimer: Mr. Warner's opinions expressed above do not necessarily represent the views of Schaeffer's Investment Research.

A belated Happy VIX-piration to all! Unfortunately, it's not likely a happy day for the majority of CBOE Volatility Index (VIX) call players.

$VIX settlement is 14.67 -- 94% of June VIX call options expire worthless $VRO $SPX $SPY

— Todd Salamone (@toddsalamone) June 17, 2015

In "regular" options, that "percentage of options closing worthless" number can be misleading. It doesn't factor options that the owners already closed profitably; it only counts options left open at the end.

But in VIX, it's a good representation. That's because almost every call out there was out of the money when the order initiated and was never actually in the money. Yes, a trader could still make a profit buying and selling them, even if they're never close to the money. That didn't happen either, though; there was never that big volatility pop to give speculators an easy out. And remember: Time weighs on all options, so even if a trader did catch a small VIX pop, the actual VIX call was probably lower. They're all priced for a quick VIX pop to begin with, so the small pops won't help them much. 

And all sets aside the fact that most VIX calls are bought as either insurance (often for credit markets and not stocks) or cheap spec and are not bought just to flip. Most buyers likely lost on VIX futures, as well. Tough to ever know that for sure, but it's a reasonable assumption, given the term structure almost always looks as it does now:

All of which begs the question, why? Why do traders/investors always "overpay" for VIX futures and VIX calls? 

I understand that they serve a function as insurance. And insurance companies (in this case, hedgies and traders willing to sell protection) only write policies (sell VIX calls and futures) if they can generate enough premium to offset the occasional claim (VIX pop). So the structure suggests sellers will generally get the best of the price. 

But why does the term structure stay this upwardly sloped? Sure, we're a little flatter than the last couple times VIX sat about here:

But it's not a lot flatter and it's on top of 5-6 years of almost non-stop VIX speculation pain. And it hasn't stopped VIX call speculation, which we know is at a high. 

When investing behavior does poorly, it tends to change behavior. Prices adjust. That is everywhere except the VIX Complex. It's always Groundhog Day here. 

Disclaimer: Mr. Warner's opinions expressed above do not necessarily represent the views of Schaeffer's Investment Research.

 

On one hand, everybody and their local billionaire are taking cover for the next market crash. For today's piece of evidence, I bring you this, from Steven Sears: 

"Major investors are preparing for the stock market to collapse.

In the past 10 days, these investors have quietly amassed significant CBOE Volatility Index (ticker: VIX) call positions. The VIX, commonly referred to as the "fear gauge," spikes in times of volatility. Call options, therefore, increase in value when stock prices plummet. Think of the options as catastrophic insurance policies. These trades are captivating the options market.

With the VIX now just below 15, top positions over the past two weeks include July calls at 17, 22 and 23, and August 17 and 23 calls. In recent trading, an investor bought 100,000 calls in apparent anticipation VIX will spike above 26 before the end of July. A trade of that size is not a retail investor's move -- that's an institution or someone running a significant portfolio." 

On the other hand, thanks to yesterday's rally, we now have yet another week of churn in the S&P 500 Index (SPX). We're right where we were this time last week … and on May 26 … and on April 24 … not to mention Feb. 25. 

In that light, it makes sense that investors' most popular opinion is that they have no opinion. In fact, the number of self-identified "neutral" investors in the American Association of Individual Investors (AAII) sentiment survey just fell beneath 45% for the first time in 10 weeks. 

All of which leads to a burning question. If no one has an opinion, then who is out there buying all these CBOE Volatility Index (VIX) futures and VIX calls?

The answer is likely that we're considering two separate questions. Opinions are interesting, but at the end of the day, maybe they don't mean that much. The VIX Frenzy, however, shows how many are voting with their actual money. And they're "betting" that actual money on a market dip and a volatility rip. 

Now, it's important to note that in the larger scheme of things, the volatility market is very small. You can buy a lot of VIX calls for a relatively low amount of money. Tracking those bets does give us insight into the marketplace, and it's an apples-to-apples comparison in that we see what they're doing in VIX now vs. other points in time. But at the end of the day, it's not a gigantic dollar commitment. 

So where does that leave us? We can't fully trust sentiment numbers, because those don't necessarily reflect actual behavior, but we also can't fully trust numbers like this VIX data because they're just not large enough.

I guess we have to use some intuition. I'm with those that say the rally remains hated and distrusted, and expectations for future volatility outstrip any and every measure of actual volatility. I'm not real sure we keep rallying in spite of all that. I mean, we stop around here every time. But I do believe that in a day or three when we inevitably start obsessing over the next Greece news or potential Fed hike, it puts a natural floor in until we see bullishness tick up.

Disclaimer: Mr. Warner's opinions expressed above do not necessarily represent the views of Schaeffer's Investment Research.

Another Friday, another weekend with worries about Greece. But at least there's a big summit today and we can finally put this crisis behind us. From MarketWatch:

"European Council President Donald Tusk on Friday sought to play down expectations ahead of an emergency meeting of eurozone leaders, saying the Monday gathering won't be the 'final step' in negotiations over Greeece's [sic] bailout. 'The purpose of the summit is to make sure that we all understand each other's positions and the possible consequences of our decisions. The summit will not be the final step and there will be no detailed technical negotiations,' Tusk said in a letter inviting eurozone leaders to the meeting." 

OK, I guess not. That's good, though; I mean, what would we do every time we got new or near all-time highs? We need some reason to stop, and thanks to the never-ending Greek story, always have a reason to pause.

So here's to never resolving Greece! Forty more years! Forty more years!

If we're so worried about Greece over here, we have a funny way of showing it. The CBOE Volatility Index (VIX) remains mired in the low teens. It remains more "excuse to sell" than "reason to panic" so far.

But... there's a whole world of "fear gauges" beyond VIX. Including Europe's VIX. And that Europe VIX is doing quite well. ZeroHedge ran this chart the other day: 

 

  

Yes, Europe's favorite fear gauge is at its highest level related to our VIX. In fact, every fear gauge is doing well relative to VIX. We remain an island of calm amidst a sea of Greece worries.

The assumption remains that it's just a matter of time before we start to wake up and smell the fear that's percolating around many other asset classes. The trick is always in the timing. As we note weekly, we're overdue for a VIX blip. We're also sort-of due for a longer-lasting volatility lift. I just wouldn't assume any of that means doom for the actual market. We can lift alongside rising volatility. And I guess that's what I ultimately expect: a period of gradually rising volatility and a market that still acts well.

Disclaimer: Mr. Warner's opinions expressed above do not necessarily represent the views of Schaeffer's Investment Research.

Apple Inc. (NASDAQ:AAPL) is the world's largest company… by a lot. This, from The Online Investor:

 

 

Yet, there's a force even greater than Apple. From the AP, courtesy of Yahoo! Finance:

"Taylor Swift has Apple changing its tune. 

Hours after the pop superstar criticized the giant tech company in an open letter posted online, Apple announced Sunday that it will pay royalties to artists and record labels for music played during a free, three-month trial of its new streaming music service. 

'When I woke up this morning and I saw Taylor's note that she had written, it really solidified that we needed to make a change,' said Apple senior vice president Eddy Cue in an interview with The Associated Press."

All of this leaves me with one question: If you give in so fast to Taylor Swift, how are you going to stand up to Putin? 

Wait. Apple's not running for office -- never mind. 

OK, seriously, there's no way to proxy the implied volatility of Taylor Swift. But fortunately, we do have a way to easily check in on AAPL volatility. And for a company with a news announcement and/or a major product launch every other day, AAPL vol acts quite poorly. Here's the CBOE Apple VIX (VXAPL) vs. the actual CBOE Volatility Index (VIX) over the past year.

 

 

Remember that with AAPL's huge market size, a good portion of actual VIX does depend on the vol of AAPL. And right now that AAPL vol sits at 52-week lows. The AAPL vol is actually near its all-time lows -- at least, as measured by VXAPL. We were lower than this after the April 2014 earnings report, and that's about it. Looking at the VIX of AAPL before the CBOE started indexing shows that this low-20s vol is about the floor. 

That's not to say it's "cheap," though. Ten-day realized volatility (RV) in AAPL sits near the mid-11s, and that's actually up slightly over the past week. And that's more or less the floor in AAPL RV going back in time. So, technically traders are actually overpaying for AAPL options -- or, more accurately, expecting an uptick in RV going forward. That's a pretty standard options premium in an individual stock that's seeing vol scrape against the lows. You're not likely to take any sort of "vega" hit, though you might see a "theta" hit, as there's likely not much news coming out in the next couple of weeks, and we have July 4 right around the bend. 

So, if Taylor Swift really wants to party like it's 1989, she should maybe sell some AAPL options now and sit and count her royalties for a week and change, and then cover and perhaps go long vol ahead of the holiday and ahead of the presumed earnings vol bump. 

Disclaimer: Mr. Warner's opinions expressed above do not necessarily represent the views of Schaeffer's Investment Research.

You know that long-awaited CBOE Volatility Index (VIX) pop, the one everyone is always anticipating? It looks like we may have to keep anticipating, at least for a couple more weeks. 

And no, that has nothing to do with the never-ending Greek drama, or any of the next drivers of market volatility that Michael Santoli lays out here. Rather, it's just the calendar. We have just entered the seasonally worst time of year for implied volatility (IV). 

Way back in 2008, I ran numbers for my book (which oddly has yet to produce a movie deal). At the time, weekly options were but a blip on some MBA's screen, and options essentially traded almost solely on the month cycles. And as such, there were volatility tendencies related to the time until expiration. Nickel Version: The earlier in the monthly cycle (i.e., the further away from expiration), the more sluggish the options. Further, different monthly cycles had different tendencies -- something that still exists today. And finally, imminent holiday breaks tended to depress volatility. 

Throw it all together, and we have the perfect seasonal storm for sluggish options. At least, we did back in 2008. 

I divided each expiration cycle into two "halves." The first "half" was either the first two weeks of a four-week cycle, or the first three weeks of a five-week cycle (hey, I probably said there would be no math). And then I looked at mean and median VIX levels of each half-cycle. Since I used cycles and not calendar months, the first "half" of each cycle is mostly in the calendar month prior (i.e., by my 2008 definition, we're now in the first half of July). 

Long story short, of the 24 half-cycles of the year, the first half of July (now) had a mean VIX of 17.04 and a median VIX of 16.18. Both those readings were the lowest of any half-cycle. That is to say, as of 2008, the first 2-3 weeks of the July cycle -- basically the time between June expiration and Independence Day -- saw the cheapest VIX of the year. 

Nothing in recent years has changed that. The importance of the monthly expiration day has waned, but the calendar really hasn't. We saw multi-year VIX lows in 2014, right before the July 4 weekend. There's just typically not much going on that moves markets this time of year, and traders tend to worry more about paying extra time decay than they worry about a big market gap.

That's not to say VIX absolutely, positively won't pop in the next couple of weeks. Just that it's an improbable event. 

And actually, it's not a terrible time to start buying actual options. I also looked at the relationship of median IV to median realized volatility (RV) across the 12 monthly cycles, and the ratio in July was about 1.2. Yes, that means options are "overpriced," but they're ALWAYS overpriced vs. RV. In fact, they were less overpriced in July than in any other cycle. So, even though IV is unlikely to pop in our immediate future, options are probably cheap enough to pay for actual RV.

Yada yada yada… If you still think that VIX pop is coming around the corner, wait until next week and buy some actual good old-fashioned options. 

Disclaimer: Mr. Warner's opinions expressed above do not necessarily represent the views of Schaeffer's Investment Research.

As I'm sure you know from watching financial TV, we're in the midst of a boom in volatility, the likes of which we haven't seen since…

$VIX won't close over 16 - session 71. Front month won't close over 16 - session 56.

— selling_theta (@selling_theta) June 24, 2015

OK, maybe not. I believe I'm mistaken. We're on the cusp of a volatility boom! Same as it ever was. 

Anyway, it got me thinking: What does it mean going forward when the CBOE Volatility Index (VIX) has sat at subnormal levels for an extended period of time? Seventy-one days is a very extended period of time, and testing that wouldn't yield results in large enough sample size, since we don't tend to stay this low for this long.

So I tested the following: What happens next when VIX closes below 16 for 30 straight trading days (six weeks, give or take some holidays)? I looked at SPDR S&P 500 ETF (SPY) returns 21 trading days and 64 trading days (about one and three months) into the future from AFTER a VIX close below 16 for the 30th straight day. 

I intended to go back to the beginning of 2000, but there were no 30-day VIX streaks closing under 16 between January 2000 and October 2004, so instead I went back to July 1, 2004. And here are the results, compared with the results of randomly buying and holding for one and three months.

 

And as you can see, your returns are actually better when you go long on top of extended VIX blahs in both the one-month and three-month time frames. 

There's no great signal here' it's just a general principle that it's very tough to time complacency. As we all know, everybody wants to call the Grand VIX Turn, but the best-odds call is on "The Present Trend Continues." VIX is below 16 for "X" number of days in a row precisely because the market itself isn't particularly volatile. It's not predicting the future so much as it's reflecting the recent past. And the action in the recent past is more likely to persist than it is to change direction on a dime. 

Everybody knows these calm market times won't last forever -- its' not bold to get on TV and state the obvious. The problem is that in the real world it costs real money to try to time the Next Great VIX Pop. We've seen perpetually overpriced VIX futures, constant rolls of out-of-the-money VIX calls, et. al. Someone will catch the actual turn, but that someone probably ate many bad bets before he or she finally landed a great one. 

Disclaimer: Mr. Warner's opinions expressed above do not necessarily represent the views of Schaeffer's Investment Research.

Another week, another churn. And as July 4 inches closer, it's unlikely we get much of anything interesting in CBOE Volatility Index (VIX) Land in the next week. But maybe there's something brewing in Options Land?

Despite the lack of direction, CNN's Fear and Greed Index remains in Fear Mode. Well, it's less Fear than we've seen lately, but it's still modestly red.

The breakdown is actually interesting. Options sentiment is actually pushing the index higher, with the "Put and Call Options" indicator registering in Greed territory.

"During the last five trading days, volume in put options has lagged volume in call options by 38.82% as investors make bullish bets in their portfolios. However, this among the lowest levels of put buying seen during the last two years, indicating greed on the part of investors."

A better description is more "a lack of bets on both sides," with a higher "lack" in the puts. But hey, it's unusual to see such a dearth of puts on a relative basis. And it could be meaningful, except I'm not so sure it's real. Remember the ISEE Index? This, from the International Securities Exchange (ISE):

"The ISE Sentiment Index is a unique put/call value that only uses opening long customer transactions to calculate bullish/bearish market direction. Opening long transactions are thought to best represent market sentiment because investors often buy call and put options to express their actual market view of a particular stock. Market maker and firm trades, which are excluded, are not considered representative of true market sentiment due to their specialized nature. As such, the ISEE calculation method allows for a more accurate measure of true investor sentiment than traditional put/call ratios."

I do like the methodology better. Standard put/call ratios do often overstate one side of the trade thanks to large rolls, plus there's no distinction as to whether the order initiator is buying or selling the premium. Ergo a big hedgie rolling a large position can skew everything and provide absolutely no predictive value.

The minus side of ISEE is that all those qualifications to get counted effectively drop the sample size too low to provide much meaning. But in any event, it's another well-thought-out way to view the put/call ratio, but with one important distinction: ISEE is call/put, thus high here equals low in put/call.

Anyway, here's how ISEE looks in 2015:

 

And we're absolutely nowhere. We can debate about the merits of one of these indexes vs. another, but I think it's safe to say that the net of the picture is much like we see in VIX. We're neither here nor there.

Disclaimer: Mr. Warner's opinions expressed above do not necessarily represent the views of Schaeffer's Investment Research.

Market predictions are generally kind of pointless. Actually making money in the trading biz generally requires excellent timing, and predictions are almost always vague on that front. But with that in mind, I'm going to make a prediction that has 100% chance of success.

Here it is: This Greek debt situation never gets resolved. I feel safe in saying that my grandkids are going to see stories about the ongoing debt negotiations via hologram while traveling to school in their hovercrafts.

But anyway, that's not stopping some bullish bets! This, via Bloomberg:

"Even as Greece inches closer to default, U.S. traders are more worried about missing out on a rally in the nation's stocks.

"Bullish options bets on an exchange-traded fund tracking Greek shares have risen to a record. There were more than twice as many calls than puts -- a higher ratio than on funds tracking equities of Germany, Spain and Italy.

"Investors are willing to take a gamble on a market that's been four times more volatile than the U.S. this year amid a change in government and five month of unproductive bailout talks. They've added money to the Global X FTSE Greece 20 ETF every single week since January, with inflows of almost $34 million in the past four days."

Now, normally, I'd say that’s pretty bearish. I mean, Greece is getting clocked, yet all traders want to do is play for a turnaround. That's usually a contra tell. Everyone loves calling turns, but trends themselves love continuing.

But alas, that's not a great description. I just kind of assumed from the TeeVee that before today, Greek stocks were down huge this year. Thing is, they haven't done all that terribly.

Going into Monday, the Global X FTSE Greece 20 ETF (GREK) was down about 12% in 2015, but it's flat over the past 3.5 months -- meaning it moves about 0% for every 10,000 stories. The big hit took place in 2014, as GREK has lost half its value in a calendar year.

The implied volatility here is positively ginormous. It resembles a one-product biotech awaiting FDA approval for something. The GREK "VIX" sits at 95, and that's actually down a bit from a peak of around 113 earlier this year. On the other hand, GREK options traded at about a 40 vol this time last year.

Realized vol has taken a similar trajectory. Ten-day realized volatility (RV) sat at about 26 this time last year, rumbled all the way up to 137 this February, and now looks downright peaceful in the mid 60s.

I'm not sure traders were really "predicting" a GREK rally so much as some sort of resolution in the the near term. That’s a real sizable overbid to already high realized vol.  

That convinces me more that my "bold" prediction will prove prescient. We will never stop hearing about this story. Traders are going to keep rolling this options paper the same way they roll CBOE Volatility Index (VIX) calls every month.

Disclaimer: Mr. Warner's opinions expressed above do not necessarily represent the views of Schaeffer's Investment Research.

Anxiety from overseas has sent U.S. markets on a wild ride today, with the Dow tracking a more than 290-point path so far. This frantic price action is being witnessed in a number of volatility vehicles, including the ProShares Trust Ultra VIX Short Term Futures ETF (UVXY), the iPath S&P 500 VIX Short-Term Futures ETN (VXX), and the VelocityShares Daily Inverse VIX Short-Term ETN (XIV) -- which are all making notable moves.

• UVXY is up 28.8% at 42.69, after hurdling its 40-day moving average. This trendline has been ushering the shares lower since mid-February, providing a big hand in ProShares Trust Ultra VIX Short Term Futures ETF's 68% year-to-date deficit. In the options pits, calls and puts are crossing at two times the average intraday pace. It appears speculators betting on a quick retreat by this Thursday's close are buying to open the weekly 7/2 38-strike put, while those eyeing an extended run higher are purchasing new positions at the weekly 7/2 42-strike call.


• VXX has jumped 14.4% to 19.85. The exchange-traded note (ETN) has taken out its 50-day moving average, and is also on pace to notch its highest close since mid-May. Longer term, iPath S&P 500 VIX Short-Term Futures ETN is off 38% year-to-date, and hit a record low of 16.85 last Wednesday. Speculators are rushing the equity this afternoon, with overall option activity running at almost three times what's typically seen at this point in the day. Drilling down, new positions are being initiated at VXX's weekly 7/2 20-strike call and August 17 put.


• XIV -- which trades inverse to that of VXX -- is down 13.1% at 42.26, and on track to close south of its 60-day moving average for the first time since Feb. 23. Year-to-date, the ETN has added 36%, and topped out at an all-time peak of 50.10 (you guessed it) this past Wednesday. While the VelocityShares Daily Inverse VIX Short-Term ETN doesn't trade options, there's still plenty of skepticism surrounding it. Specifically, more than 70% of the ETN's float is sold short.