As of the close of today, the VIX closed at 18.84, which is slightly higher than the 10-day moving average of 17.51 but lower than the 200-day moving average of 22.96. The S&P 500 index closed at 4056, lower than the 10-day moving average of 4124.01 but higher than the 200-day moving average of 3961.33. This report analyzes the VIX option data and its possible impact on the short-term and long-term market direction.
Call Option Data
The total call volume of VIX options traded was 788392 contracts. Out of this, 145968 contracts traded at the bid or below, and 66941 contracts traded at the ask or above. The majority of contracts, i.e., 575483 contracts, traded between the market spread.
Looking at delta-wise call option volumes, contracts traded for 0-20 delta calls were 212575, followed by 310143 contracts for 21-40 delta calls. The 41-60 delta call option had a volume of 215352 contracts, while 19042 contracts traded for 61-80 delta calls. Lastly, contracts traded for 81-100 delta calls were 31280.
Put Option Data
In terms of put options, the total put volume was 233606 contracts. Out of this, 30647 contracts traded at the bid or below, and 36469 contracts traded at the ask or above. The majority of contracts, i.e., 166490 contracts, traded between the market spread.
Looking at delta-wise put option volumes, contracts traded for 0-20 delta puts were 39812, followed by 30443 contracts for 21-40 delta puts. The 41-60 delta put option had a volume of 55360 contracts, while 21480 contracts traded for 61-80 delta puts. Lastly, contracts traded for 81-100 delta puts were 86511.
Historical Perspective
The 52-week IV high for VIX options was 1.301, and the 52-week IV low was 0.727. The current IV percentile is 27%, indicating that the implied volatility is relatively low. The implied volatility for VIX options is 87.98%, which is relatively high.
The put to call ratio for VIX options is 0.296, indicating that there are more calls than puts. The sizzle index, which measures the volume of options relative to the average daily volume, is 3.732.
Market Direction
Based on the VIX option data, the market sentiment suggests that there is an overall bullish sentiment in the market. This is indicated by the higher volume of call options than put options, and the majority of call options traded at delta levels above 20.
Short-term direction
The short-term market direction is likely to be bullish, as the S&P 500 index is above its 200-day moving average, and the VIX is trading lower than its 10-day moving average. The low IV percentile also suggests that there is currently less fear in the market.
Long-term direction
The long-term market direction is also likely to be bullish, as the S&P 500 index is above its 200-day moving average, and the VIX is trading lower than its 200-day moving average. However, investors should remain cautious and monitor any developments that could impact market sentiment.
Conclusion
The VIX option data suggests an overall bullish sentiment in the market, with higher call option volumes and a low IV percentile. The short-term and long-term market direction is likely to be bullish, but investors should remain vigilant and monitor any potential
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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