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Surge In VIX Volume Reflects Huge "Interest In Owning Market Crash Protection"
"I'm not sure if it’s the biggest trade ever, but it's certainly one of them," noted Jamie Tyrrell, a VIX specialist on the CBOE floor, as Bloomberg reports almost $100 million worth of options pegged to the volatility of US equities were traded in a split second at 1216ET today. "Someone is interested in owning a lot of protection," Tyrrell added as just over 1 million contracts were traded, all told, about 54% of the total amount of index options that traded at the CBOE all day Friday. While for every buyer of VIX Calls there is a buyer, the notable push higher in volatility after this trade suggests the trades had characteristics of someone hedging stocks.
The options trade were spread across 4 strikes and 2 maturities...
about 40 different trades went off at 12:16:04 p.m., encompassing contracts that gain in value should the Chicago Board Options Exchange Volatility Index rise over the next few months, according to options data compiled by Bloomberg. The four biggest were each more than 130,000 contracts.
While divining the motive of a single trader who may be operating in more than one market is impossible, buying a call on the VIX is a bet the equity market turbulence will rise, which usually happens when stocks fall. To Jamie Tyrrell, a VIX specialist on the CBOE floor, the trades had characteristics of someone hedging stocks.
For example the July 23 Strike Calls...
And left VIX (and VIX Futures) surging after the options trade...
As Bloomberg concludes, expectations of higher volatility have been creeping back into the market through options on the VIX. Traders owned about 5 million calls as of Friday, the most since November and more than double the open interest in January. They held 2.6 calls for every put, around the highest ratio since October.
And The Bloomberg Put-Call Ratio Composite is the lowest (most Calls over puts) since Dec 2010.
Charts:Bloomberg
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"I'm not sure if it’s the biggest trade ever, but it's certainly one of them," noted JAMIE DIMON, a VIX specialist...
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Seems about the right size trade for the Swiss National Banks
The VIX will likely get monkey hammered into the 9's soon if I am reading into this correctly.
don't know who was buying but pretty sure janet was selling
I was thinking just the opposite--that Janet was buying in preparation to sell,sell,sell.
$100M gone in sixty centiseconds.
Yeah, there's your """markets""" at work.
Just normal price discovery working itself out.
Don't read too much into this. Usually these large option trades impact VIX futures for a couple of days max. Longer term these types of trades offer very little predictive ability, especially when it's a hedge. This seems like a major fund is long the market, but they don't want to reduce long exposure, so they by VIX calls. A 17/23 call stupid (that's the name of this type of trade) is pretty risky due to the fact that as time goes on, the decay in the futures and the option becomes a problem. We'll see how this works out.
What if it's a major fund that is long the market and won't be long the market shortly, causing a cascade of selling?
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I did notice my UVXY pop up a bit which was unusual since the Dow was down only 85 points.
hftc computers don't have emotion. when 98 percent of the volume is arbitrage scooping computers. Is vix even important anymore? Maybe after the crash. A long ways away.
Look at the chart for the last 6 months. Normally would think TA is useless in rigged markets but VIX rhythmic action may be a reflection of predictable market manipulation consequences.
Fake and gay markets.
I still think the only protection that can in fact be owned if China drmamtically slows down...or worse...is Treasuries.
Certainly commodities would be the worst possible place to be....and as well "commodity dpenendent economies"... Russia, Australia, Canada, Argentina, Venezuela, Brazil, etc.
Meh.... What is that, like half a Picasso?
For every buyer of VIX Calls there is a buyer? Perhaps your looking for a seller somewhere in that statement.
Picky picky picky
Putin buying VIX calls. Saudi Arabia buying VIX calls. Iran buying VIX calls. Michelle Obama buying VIX calls. George Soros buying VIX calls. China buying VIX calls.