Thursday, July 12, 2007

New VIX Options Volume Record Yesterday

The VIX has been setting records for options volume on a fairly regular basis. This should not come as a surprise, as VIX options are still less than a year and a half old, making records easy to come by, even without resorting to steroids and corked bats.

Yesterday marked another VIX options volume record, with the 322,484 contracts easily besting the previous record of 277,260 from back on May 16, 2007. I generally don't bother to mention this type of news, because I have yet to find a meaningful relationship between VIX futures volume or VIX options volume and subsequent market moves.

Given that it's a slow day from a VIX perspective, I thought I'd throw out the 'news' and see if any readers care to comment on VIX options volume and what it may tell us about the direction of the markets.


Anonymous said...

Hi Bill,
I monitor the VIX on Excel spreadsheets on a daily basis. I noted that Wednesdays' puts were 5 times its' 45 dma, while the calls were 3 times its's dma.I have only collected 45 days of data, but will build this up to a 100 dma.Now somebody knew or planned something as these were also record volumes compared to the dma.
I feel that by monitoring the volumes against the individual dma, a trader may gain an edge over other traders average traders. I am a regular visitor to Brett Steenbarger's websites and he mentioned the 100dma possibilities in a previous article.
Malcolm Buchanan

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