I see some big buyers in SPY pPuts — the
June 125s, which expire Friday.
I am still long the September 120 Puts, and June VIX calls. Remember that the
VIX options are Euro style, and expire Tuesday. I expect to hold the VIX thru
expiry, unless they approach fair value.
I suspect there is an Arb opportunity in VIX options, and that will bring the
prices more into line with the cash settlement rather than the futures. We’ll
see . . .