The Option Pit VIX Traffic Light Is Yellow: Volatility is likely to move wildly.

Hey Traders,

Tuesday was an extremely active day for VIX options. The index did about 2.3 times its average daily volume:

Odd that it happened on a day the VIX hit its low for the year.

At the same time S&P 500 realized volatility sank even lower:

ATR and Realized HV keep getting lower and lower, with 10 day realized now in the single digits.

This is incredibly low for SPX.

So are we heading back to a consistently low volatility regime?

Maybe.

But then again … maybe not.

Look again at that VIX volume. Notice that calls massively outpaced puts.

The biggest trade by far was this one:

Delta Neutral, a trader bought 100k of the September 25 calls! That’s some serious size.

The calls weren’t cheap either.

By doing it delta neutral, this trader is saying VIX is either going to 12 or it’s going to 40.

I’ll let you guess which way they are banking on.

What is going to cause this move? In either direction?

I’ll answer this and many more pressing questions at my special live event on Thursday at 7 p.m. ET.

Questions about that? Comment below!

Your Only Option,

Mark Sebastian