markets

VIX Dropping Below 15 Clears Way for a Big Trade in March Calls

Interactive Brokers' Sosnick Says Market Discounting 'Bad News'

The VIX options market saw activity surge Friday as the Cboe Volatility Index dropped to its lowest level since Feb. 1.

The latest move involved closing a portion of March $25 calls when about 121,000 contracts were bought for 25 cents per contract. Those same calls may have been sold Feb. 2 for 62 cents.

The trade could even be the work of the VIX “Elephant,” whose nickname was bestowed by Macro Risk Advisors’ Pravit Chintawongvanich and has been notable in recent months for large trades. He or she looks to be continuing to unwind a portion of a March three-way trade that was largely closed out on Feb. 6, one day after the VIX index spiked 116 percent.

The VIX index was down 12 percent as of 4:10 p.m. in New York after briefly falling as much as 20 percent when U.S. non-farm payroll data beat the highest estimates.

— With assistance by Joanna Ossinger

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