VIX Options Market

Trade War looming, CNY sliding towards a 7.00 handle, Brexit negotiations stalling, Argentina and Turkey suffering major stress in currency and short end rates markets, IMF proposing a $12bln bail out for Pakistan and the November Mid Term elections coming up, it’s safe to say there is a lot going on.

Our quantitative team thought it would be a great time to take a good look at where market professionals are positioning with the VIX Option contract. Especially interesting this week as we have the Bank Of England, Federal Reserve and Bank of Japan making monetary statements.

The quantitative team developed a Heat Map for the VIX Option Contract market, illustrating Puts and Calls with maturities out to six months and including all option strikes:

Heat Map for the VIX Option Contract market

Our Insights:

1) VIX Call-Put Ratio stands at >2.25 which is not significant relative to 2018. Bear in mind that a number greater than 1.00 implies that the market has greater sensitivity to the upside.

2) 55% of Put and 45% of the Call Open Interest have been traded in the one month maturity and only 5% of the open interest is positioning into the year end expiry in December

3) Key Upside Strikes are the 18,19, 21, 22 Strike Call Options, principally in August and September, while the 30 and 32.50 Strike Calls in August have significant positions.

4) Key Downside Strikes are the 12.50, 13.50 & 14.50 Strike Put Options, principally in August.

5) With the 6th November Mid Terms and the November Option Expiry set for the 21st we are seeing only a slight bias towards an uptick in volatility with 207,145 Calls Traded versus 172,325 Puts and strikes of interest being the 13.50 Puts and the 21.00 Calls.

We hope you have found this useful and provides a brief summary snapshot on market positioning, please feel free to reach out if you would like to continue the discussion.


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