In other activity, bears were active via ProShares Ultra Short S&P 500 (NYSEArca: SDS) call options in purchasing these contracts, and are likely either aggressive hedgers if not outright bearish speculators positioning themselves ahead of the ECB results.
Finally, after many months of doldrums and lack of interest, SPX (S&P 500 Index) options have traded actively in the past two sessions, with steady accumulation of September ‘quarterly’ 1385 puts. If we rewind the clock back one year (plus or minus a few days) from today, a 4% daily intra-day move in the SPX (and the corresponding move in the VIX itself, not to mention the dislocated moves in VIX related ETPs) would be a walk in the park.
Today, we struggle with a VIX that can’t stay above $16. The S&P 500 Index seems to be clinging, from a psychological standpoint, to the 1400 level in recent sessions but from a pure technician’s perspective, 1375 in the SPX appears to be more realistic support.”
iPath S&P 500 VIX Short Term Futures ETN
Full disclosure: Tom Lydon’s clients own TVIX.