Kudos to Adam at Daily Options Report for getting all over the VIX expiration story a little earlier. In Time for an In-VIX-Tigation? Adam wonders about the large number of SPX options trades at the open today.
In the table below, I have reconstructed the details of this attack, which appeared to involve the purchase of close to 300,000 puts (all of which were opening transactions for that strike) and a grand investment of about $150 million.
This transaction pushed the VIX from a close of 53.11 on yesterday to a special opening quotation (for the settlement of VIX options) of 63.04, a 9.93 (18.7%) jump over yesterday's close. If I am able to unearth any additional details about this transaction, I will pass them along.
[source: VIX and More]