Strange Vix Movement

Its been an interesting week so far with Vix up 70% and SPX down less than 2%. It seems people were aggressively buying near term protection via VIX calls. The VVIX exploded as well today, with 75% of the Vix volume being Calls. It interesting because the Skew index is mid-range. So people buying near term vix calls instead of OTM puts. Something seems to be brewing under the surface, curious if some damage is starting to spread with Oil being down almost 50% in the last 6 months. There have been some strange thing going on lately, with the extreme upside spike in the Treasury market back on 10/15, the flash crash in AAPL on 12/1 and no bids for Oil. It will be interesting to see how the broad market holds up. It should be a pretty interesting friday.

Round trip ticket for the spoos, with a wicked rally off the open, by the end of the day it gave it all up. The interesting thing
today though was the reaction the Vix had.

The Vix is up about 70% in 4 days, this is an extraordinary event given the movement of the S&Ps which usually move inverse. At the end of the day the S&Ps were up and so was the Vix.  In those same 4 days the vix was up 70% the SPX was down less than 2%. 

Less than 2% from fridays close to todays close.

You can see how much the Vx future curve flattened today as the front month was bid for protection. It seemed rather odd when I was watching it the way it was bid up into the end of the day. It almost seemed like there was no liquidity or no one wanted to step in front of it. At the end of the day they were in backwardation.

You can also see the VVIX was exploding today. It seems to be the biggest weekly move going back to when it was introduced in march of 2012.  

almost 75% of the volume today was Vix calls and now trading at 94% percentile of 52k week range.