VIX options expire tomorrow morning in a VIX special opening quotation (SOQ) and with only one hour of trading left today VIX calls that are still almost two dollars out of the money (November 75 calls) just traded at 1.20, suggesting that traders see a significant probability that market conditions could deteriorate over the course of the last hour or open down sharply tomorrow on additional bad news.
The graphic below, courtesy of optionsXpress, show the prices up through the 85 strike for the VIX November options, with the snapshot taken at 2:52 p.m. ET while the VIX was at 73.13:
[source: optionsXpress]
As often happens, Adam Warner put a post up on the same topic at the same time. His take has a link to an excellent OptionMONSTER video: So Long Nov. VIX
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