Monday, June 14, 2010

VXX (Short Term VIX Futures ETN) - Active in June (and July)

VXX (S&P 500 Short Term VIX futures ETN) is trading $27.78, down 3.7% with IV30™ down 7.5% on seemingly reassured markets today. The LIVEVOL™ Pro Summary is below.

This is a follow up to the post on 6-3-2010, VXX - Bets on a Volatile July (click to read).

Today the ETN has traded over 21,000 options. All but 3,243 contracts have been calls. A lot of the action has been in the front month (June) OTM calls. The Stats Tab and Day's biggest trades snapshots are included (click either image to enlarge).

The Options Tab (click to enlarge) illustrates the action. Jun 30 calls have traded over 7,000 times (mostly purchases). This volume is substantially opening (trade volume >> OI). The Jun 32/34 call spread (buy 32/sell 34) has also traded a few thousand times. The OI in these lines are larger than the trade volume, I can't tell immediately if they are opening or closing. Either way, both trades get long the short-term VIX with a week to go into expo.

The blog on 6-3-2010 discussed order flow in July which bet on volatility. These bets today are similar, but they are more like cheap bets with a big win if they're right, but with a correspondingly low probability of winning.

The Skew Tab snap (click to enlarge) illustrates just how bid the upside is for these short term OTM calls. VXX hasn't traded options very long, in fact this may be the first expo (or second/third something small). It will be interesting to see how the skew changes (if it does) as the product gains maturity. Right now the $0.08 sale of the 34 calls against a purchase of 32 calls looks pretty nice (i.e. as of right now, they are no bid @ a dime).

This skew chart is a nice juxtaposition to the VIX skew blog I posted a few days ago. That blog is available here: VIX Skew - What it Indicates and How Accurate it is.

Finally, the Charts Tab ETN level only (no vols this time) (6 months) is below (click to enlarge).

You can see the big up swing, followed by another wave up, then the drop since. I get the sense that the VXX will quickly become a commonly referred to broad risk measure. It seems to be gaining traction.

This is trade analysis, not a recommendation.

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  1. I see this space is now open for comments, so let me be the first one to say, "Nicely done, Ophir!"

    Keep them coming...



  2. Thanks Bill :-). I see you are lookin' at the VXX too. It's catching on as a risk vehicle/measure.

  3. You should mention that the underlying asset the vix for June expires on june 15 and not june 17 expiration