four 5,087 posts msg #139422 - Ignore four |
11/21/2017 1:04:01 AM
https://finance.yahoo.com/news/vix-elephant-due-stampede-market-170655123.html
The trader, who Chintawongvanich has dubbed the “VIX Elephant,” has bought 262,500 December VIX puts with a strike price of 12 and is long a VIX call spread that profits if December futures contracts expire between 15 and 25 -- selling 525,000 VIX calls with a strike price of 25 and purchasing 262,500 VIX calls with a strike price of 15.
The November VIX futures contract expired Nov. 15.
Chintawongvanich reckons the looming unwind and reapplication of this trade is one of many factors applying pressure on December VIX futures.
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