Shares of the iPath S&P 500 VIX Short Term ETP (VXX) are down .79 to 43.38 today. VXX is near the lower end of the 52-week range.
Today paper traded 34454 x 17227 VXX Jan 30/40 put ratio spreads for 1.64.? ADV is 300k contracts.? The OI is 37k and 25k contracts.
The volume went up several large blocks mid-market.? The paper does look like it is a standard 1 x 2 put spread selling two options to finance the more ITM options.? The trade looks like it was down for a credit and either it is a close on the large OI or adding more of the same.? If opening, the trader wants slow move down to 30 in VXX.
30-day implied volatility is 62%.? ?10-day implied volatility is 75%.? 30-day implied volatility is trading above the 10-day historical
iPath S&P 500 VIX Short Term ETP (VXX) buys VIX futures keeping a constant 30 day duration between the two front months.