Where Will Non-Farm Payrolls Push The VIX?

The Option Pit VIX Light Is Red, Volatility Will Drop.


Hey Traders,


On Thursday, the S&P 500 (Ticker: SPX) was up about 12 points, and the Nasdaq 100 (Ticker: NDX) actually closed down.


The VIX managed to eke out a small gain,  moving up 0.30 to close at 16.44.


VIX futures on the other hand … they closed down, thus ProShares Ultra VIX Short Term Futures ETF (Ticker: UVXY) closing down on the day.


So who is right?  


Is the VIX going to pop on non-farm payrolls?


Or is the trend going to follow VIX futures, and drop?


The order flow in options is saying one thing …


The VIX closed up .30 to 16.44.


The S&P was ALSO up …


But the big “uh oh?"


Well, VIX futures … they were DOWN, not up.


This can be explained partially by convergence of VIX spot and VIX futures.


But then I also took a look at September option flow …



Traders bought 55,000 of the 17-strike puts expiring on the 15th.


They also bought another 45,000 puts between the 18, 16, and 15 strikes!


In addition, check out the open interest on those strikes: it is BIG.


Those four strikes make up four of the five biggest open interest strikes in September …


Oh, by the way … the October 17-strike puts have open interest of 226,000, and the October 14-strikes have 213,000 open interest.


The point is that once again, the entire VIX market is positioned for a VIX sell-off.


Could we see that on non-farm payrolls … into a long weekend?


Here is what I will say: the September 15-strike puts only cost $0.05 … (yes, I know I keep saying this).


Your Only Option,

Mark Sebastian

Leave a Reply

Your email address will not be published. Required fields are marked *

This site uses Akismet to reduce spam. Learn how your comment data is processed.