Robert Long schreef op 18 maart 2020 14:16:
Een verklaring voor de daling van Virtu en of de shorters op FLOW.
In USA wedden ze op een daling van de VIX onder 30 tegen eind april.
Stuk komt van Mott Capital Management:
Betting Volatility Falls
Addition&l'y, there was a bunch of betting that suggest the VIX index plunges from its current level of around 80 to approximately 38 by expiration on April 15. The 45 puts options saw their open interest rise by roughly 115,000 contracts on March 17. The puts traded on the ask, indicating they were bought for around $6.80 per contract on March 16. This, too, was a substantial wager, with a dollar value of about $78 million.
Also, the 40 puts on the VIX saw their open interest levels rise by around 73,000 contracts on March 17. These puts also traded on the ask, indicating they were bought for roughly, $8.80 per contract, and implies that VIX falls below $31 by the expiration date on May 20. Again, this is a massive wager, with a dollar value of about $65 million.
One can't understate the size of these three options bet during a period of such wide ranges of volatility, given the implied moves both the VIX and S&P 500 would need to make. Remember, in options, its possible to lose all of the money placed for the contracts.