Based on the VIX options data as of the close of today, there appears to be a mixed sentiment among market participants.
Call Option Data
In terms of call options, the total call volume was 826,974 contracts, with the majority of the contracts trading between the market spread at 658,806 contracts. However, there were 90,282 contracts traded at the bid or below and only 77,886 contracts traded at the ask or above. This suggests a slight bearish sentiment among options traders.
Looking at the delta ranges, the majority of the call contracts traded were in the 41-60 delta range at 344,556 contracts, followed by the 21-40 delta range at 205,931 contracts. The contracts with the highest delta, 81-100 delta, only had 936 contracts traded, which suggests that traders are not anticipating a significant move in the VIX.
Put Option Data
On the put options side, the total put volume was 363,540 contracts, with the majority of the contracts traded between the market spread at 276,274 contracts. However, there were 40,621 contracts traded at the bid or below and 46,645 contracts traded at the ask or above. This suggests a slightly bullish sentiment among options traders.
Looking at the delta ranges, the majority of the put contracts traded were in the 81-100 delta range at 237,176 contracts, followed by the 61-80 delta range at 44,912 contracts. This suggests that traders are anticipating a potential decline in the VIX.
Historical Perspective
The 52 week IV high was 1.301 and the low was 0.727, indicating that the current IV percentile of 36% is relatively moderate. Looking at the IV percentile, we see that it is currently at 36%, indicating that option premiums are not particularly high or low relative to historical levels. However, the fact that the implied volatility is currently at 93.51% suggests that there is still some level of uncertainty and risk in the market.
The put to call ratio of 0.44 indicates that there are more call options being traded than put options, which suggests a slightly bullish sentiment among options traders. Finally, the sizzle index of 3.931 indicates that there has been relatively high call buying activity compared to historical levels, which could suggest that investors are becoming more optimistic about the market in the near term.
Conclusion
Overall, the market sentiment appears to be cautiously optimistic with some level of uncertainty. Investors are buying calls to speculate on the market moving higher, but are using limit orders to buy at a discount to the ask price. The delta distribution of the call options suggests that investors are positioning for moderate gains, while the put to call ratio and the IV percentile suggest that the overall sentiment is not overly bearish. However, the high implied volatility and sizzle index indicate that there is still some level of uncertainty and risk in the market.
Disclaimer
The information provided in this article is for educational purposes only and does not constitute financial or legal advice. Please consult with a financial advisor or attorney before making any investment decisions or creating an estate plan.
The information provided in this financial blog is for educational purposes only and does not constitute financial advice. The content of this blog is based on the opinions of the author and should not be relied upon as a substitute for professional advice. Before making any financial decisions, readers should consult with a financial advisor or other professional to discuss their specific situation and investment objectives. The author of this blog is not responsible for any losses, damages, or other liabilities incurred as a result of using or relying on any information provided in this blog. All information provided in this blog is accurate and reliable to the best of the author's knowledge, but no representations or warranties are made regarding its accuracy, completeness, or timeliness. The author reserves the right to change or update the information provided in this blog at any time without notice.
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