Upside Active on the VIX

The CBOE Market Volatility Index (VIX) is moving higher this afternoon by 4.04%, at 18.53. Front month futures are up just $0.13 today, trading at $18.40. Volatility spiked slightly in mid-October, putting it in line with the 200-day moving average; there seems to be some increased interest in owning vol as of late.

Call volume is dominating on the VIX today, currently running at 2x put volume. The most interesting action is coming in the January 2013, where the $25/32.50 call spread has traded a total of 20,000 times.

While volume has not exceeded open interest on either strike, this looks opening.  Note that the January future is currently trading at $20.35.

30-day implied volatility is off slightly today to 85.98%; 10-day realized vol is registering 99.56%. 

About Michael Zerinskas

Originally from Chicago, Michael J. Zerinskas began his career as an intern for a small high-frequency trading firm based at the CME; he then moved on to become Chief Options Strategist at Benzinga.com. Michael is now Unusual Activity Editor at The Options Insider, specializing in VIX, volatility, and flagging unusual activity.