• VIX call buying – record levels

    by  • December 6, 2012 12:25 pm • Broad Market Analysis, Charts to Watch, Quick Hits • 0 Comments

    Below chart displays the number of VIX calls that have been purchased (to open) and the number of VIX puts that have been purchased (to open), during the past 20 days.

    We are at record levels of VIX call buying during the past month, as the consensus believes that there is a higher-than- normal possibility of a significantly higher VIX.  The contract with the highest open interest is the January 25 call.

    Meanwhile, put buying on the VIX, while growing in recent days, is far below extremes that  preceded significant S&P 500 Index (SPX) pullbacks.  Translation: when there were higher-than-normal bets on lower volatility, the SPX experienced significant pullbacks.  Currently, few expect a decline in volatility, which means lower volatility is likely ahead.



    Todd Salamone is a graduate of The Ohio State University. As Senior Vice President of Research, he oversees the strategies and analysis used in supporting Schaeffer’s various option recommendation services. He is the author of the company’s weekly e-newsletter, Monday Morning Outlook, and a contributor to Bernie Schaeffer’s SENTIMENT magazine. With more than 18 years of trading experience at his command, Todd manages numerous alert services for Schaeffer’s, and has introduced many sentiment-based indicators to its subscribers. Todd has presented option strategies to retail investors in cities throughout the U.S., and is a frequent commentator on financial markets via print, radio and television, including CNBC, The Wall Street Journal, and MarketWatch.


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