With about a half hour left in today’s trading session, purchases of VIX options are unusually high – much higher than yesterday. As I type this, over 855,000 VIX calls have been traded, with today likely to see the highest VIX call volume since the August 2011 market panic. Data from LivevolPro indicate that 28% of VIX call transactions are being bought on the bid, versus 16% sold at the ask, reflecting a lack of price sensitivity on the part of the buyers of VIX calls, who are the driving force behind these transactions. All told, a record 1.3 million VIX options contracts have been traded, breaking the old record of 1.22 million from September 11, 2012.
Note also that while the VIX’s implied volatility has been on the rise as of late, at its current level it is in the middle of its 2012 range.
The equities market may feel more orderly and composed today, but in the options market, there are signs of increasing anxiety and concern.
- A VIX Risk Reversal
- VIX Puts Looking Attractive
- Taking Profits in VIX Options (and ETPs)
- VIX Implied Volatility Exceeds 2008 Crisis Levels
Disclosure(s): neutral position in VIX via options; Livevol is an advertiser on VIX and More