While the VIX may not have exploded with the markets meltdown, we did see something interesting at the end of day in the vol of December options. Take a look at the pop we saw in December options around 3:40 with the VIX pop as well.
Livevol (r) www.livevol.com
Notice that, over the last 2 days, we have seen the VIX have pops, but the IV of the options hasn't moved. It's interesting that this VIX pop, which was AFTER the fed announcement, is what got VVIX to move.
Where was the movement:
It appears that much of the buying took place in the near the monies around the 15-20 calls, while there was a serious seller above 20. If one follows paper, this points toward a creep back higher in the 16-18 range but no real explosion. To me this makes sense.
We like a 15-18-21 butterfly, which is a trade we currently have on in the strategy letter at a favorable price.
Follow us on twitter: