Daily Options Report

Since last we checked, the VIX has strengthened a smidge, though not so much in the actual VIX futures.

So what to do with a little ray of sunshine on a dark volatility summer? Sell deep calls apparently as Jamie notes interest in shorting 10 line calls. The 10 strike of course is essentially stock (really a future) so it's not really an options play so much as a futures one.

Jamie also notes a 25K cross in the Oct 30-42.5 risk reversal. As best I can tell, the customer bought the 30 puts vs. shorting the 42.5 calls for a net debit of $2.35, mid market of where the crowd quoted it. Crowd did not participate on the print.

So since the OTM call buying a few weeks ago (that looks like a complete waste of money) the order flow here seems to have gotten very bearish. Now it's important to note that derivatives desks likely initiate the big orders here as part of hedging their overall exposure (variance risk). So in other words the real action is the trading that leads to these orders, and this suggests that recent trading is getting these books quite long some vega (volatility risk).