An investor executed an unusual $6 million purchase of deep in-the-money VIX puts on Tuesday, just hours ahead of the Federal Reserve’s rate decision. The trade involved 563 110-strike puts expiring Oct. 21 for $5.1 million, plus 130-strike puts expiring Nov. 18 for $1.2 million. The VIX closed the session at 17.2, making these puts deeply in-the-money and suggesting high conviction that volatility will decline. This unusual transaction comes as the bond market prices in a 90% certainty of a rate hike, while S&P 500 options are implying only a 0.8% move, unusually low for a Fed meeting.
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