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Record VIX Options Volume and Large Purchases of VIX Calls

Tue, Feb 26, 3:42 PM ET, by Bill Luby

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, 1.3 million VIX options contracts have been traded, the highest in at least the past two years.

The equities market may feel more orderly and composed today, but in the options market, there are signs of increasing anxiety and concern.

[source(s): LivevolPro.com]

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Disclosure(s): neutral position in VIX via options; Livevol is an advertiser on VIX and More


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