TradeAlert
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Couldn't we all use some stability into early 2021. Massive trades in Cboe VIX index open Feb and March ratio spreads in anticipation of volatility reversion. Spot VIX little changed near $26.70 this morning and longer-dated futures relatively flat near 27, with puts leading calls 400k to 100k at 11:30am ET after two ratio spreads of identical size printed within seconds of each other as auctions in the complex order book. First was the March 17/21 1x2 put spread bought for a debit of 84c, initiator buying 59757 March 21 puts for $1.74 to sell 119514 March 17 puts 45c. Next is the same trade in the Feb term- initiator buying 59757 21 strike puts for 1.54 to sell 119514 17s for 35c, also a debit of 84c. All legs open, with the total premium outlay near $10M suggesting a view that gains if volatility drops back toward the long-term average level, at which point the long 21 puts would see gains exceeding the short 17 strike losses. Potential profit on the position tops out near $36M with settlement at the 17 strike on both dates
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Couldn't we all use some stability into early 2021. Massive trades in Cboe VIX index open Feb and March ratio spreads in anticipation of volatility reversion. Spot VIX little changed near $26.70 this morning and longer-dated futures relatively flat near 27, with puts leading calls 400k to 100k at 11:30am ET after two ratio spreads of identical size printed within seconds of each other as auctions in the complex order book. First was the March 17/21 1x2 put spread bought for a debit of 84c, initiator buying 59757 March 21 puts for $1.74 to sell 119514 March 17 puts 45c. Next is the same trade in the Feb term- initiator buying 59757 21 strike puts for 1.54 to sell 119514 17s for 35c, also a debit of 84c. All legs open, with the total premium outlay near $10M suggesting a view that gains if volatility drops back toward the long-term average level, at which point the long 21 puts would see gains exceeding the short 17 strike losses. Potential profit on the position tops out near $36M with settlement at the 17 strike on both dates