Based on the VIX options data as of the close of today, traders were slightly bullish in the short term but bearish in the long term. Market continues to struggle to find a long term direction.
Call Option Data
The market sentiment report for today's VIX options data paints an intriguing picture. With a total call volume of 1,268,284 contracts, it seems that investors are feeling bullish about the market in the short term. Of these contracts, 206,013 traded at the bid or below, 220,500 traded at the ask or above, and 841,771 traded between the market spread.
When we look at the call volume broken down by delta, we see that the highest volume of contracts, 442,206, were for the 41-60 delta calls, indicating a moderate bullish sentiment. The 21-40 delta calls also saw significant volume, with 391,015 contracts traded. However, it's worth noting that the 81-100 delta calls only saw 9,267 contracts traded, suggesting that investors are not overwhelmingly bullish in the long term.
Put Option Data
On the put side, the total put volume was 484,846 contracts. While this is significantly less than the total call volume, it's still a substantial amount. Of these contracts, 115,438 traded at the bid or below, 73,702 traded at the ask or above, and 295,706 traded between the market spread.
When we look at the put volume broken down by delta, we see that the highest volume of contracts, 160,951, were for the 81-100 delta puts, indicating a strong bearish sentiment in the long term. However, the 0-20 delta puts also saw significant volume, with 69,345 contracts traded.
Historical Perspective
The 52-week IV high and low are 1.301 and 0.727, respectively, with the current IV percentile at 37%. This suggests that the implied volatility is relatively low compared to its recent historical levels. However, the current implied volatility is quite high at 93.93%.
The put to call ratio is 0.382, indicating that there are more call options being traded than put options. This is another sign of bullish sentiment in the short term. Finally, the sizzle index is 6.182, indicating that there is a higher-than-normal level of activity in the VIX options market.
Conclusion
Based on this data, it seems that investors are feeling bullish in the short term, with moderate bullish sentiment for the 41-60 delta calls. However, the long-term sentiment is more mixed, with strong bearish sentiment for the 81-100 delta puts. The high implied volatility suggests that there is a lot of uncertainty in the market right now. Overall, it will be interesting to see how this sentiment plays out in the coming days and weeks..
Glossary
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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