Friday, February 18, 2011

What's Trading: CBOE Volatility Index $16.23 -2.17% (VIX; VXX; CVOL)

Very odd early trading in the VIX, down to $15.54, off 6.3% before recovering. Hmmm.
From What's Trading:
CBOE Volatility Index (.VIX), which slipped .13 to 16.59 Thursday, is up .06 to 16.55 expiration Friday morning. A noteworthy options trade in the volatility index yesterday afternoon was a Mar 21 – 30 (1X2) call ratio spread at 40 cents, 15000X. Looks like the spread was possibly repeated more than once Thursday. Open interest in the Mar 30s increased by 49,706 and 29,694 of new OI was created in the Mar 21s. The spread is a bullish play on the VIX and one that offers a max pay-off if the index settles at 30 at the March expiration, which is in 25 days for options on the VIX.