An Interesting Thing Happened to VX Yesterday

With the government deadline looming, VIX and volatility have been on fire with massive volume, ranges, and trading opportunities. I was struck though with the deafening tone of negative comments from congressional leaders and the perception that the debt ceiling negotiations were basically collapsing, the following transactions occurred at the 4:15 EST close:

NOV VX 2013

NOV VX 2013

DEC VX 2013

DEC VX 2013

There were similar although smaller transactions in other months. Low and behold, the next day there are rumors out of an imminent deal and those 2 contracts are down -.070 and -0.50 pts respectively at the time of this writing. Someone knew something perhaps? Obviously this was the day before OCT VIX expiration so it’s possibly just the usual rolling/end of contract transactions but the coincidence does not escape me.

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~ by largecaptrader on October 16, 2013.

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