The expiration of options on VIX today is expected to strengthen the volatility of the index, with a large majority of market participants believing that fluctuations of the order of 10% to 13% are entirely possible. These views are based on statistics that do not include an increase of the index by more than 50% in that month. Taking into account the strong growth in January and the current stock market recovery expected during the US session today, VIX will drop significantly
What the volumes says?
Since the last expiry of options on VIX on January 17, PUT options on the index have increased more than 2 times to 4.887 million.
The options expire at 16:00, and when opening the US markets, we expect big gaps and increased volatility in ETFs following VIX.
Source: Bloomberg Pro Terminal
Bloomberg: Why Wednesday Could Be a Huge Day for the VIX
Jr Trader Petar Milanov
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