A massive $6 million deep in-the-money put purchase was made on the Cboe VIX Index on Tuesday, exactly one day before the Federal Reserve’s FOMC rate decision on September 16. Futures markets are pricing in an 80-90% probability of a 25-basis-point rate hike, with the VIX trading in a 14-to-18 range near multi-month lows. Deep in-the-money puts carry high intrinsic value and behave more like a direct short position on the index, making them less sensitive to time decay and implied volatility shifts. Multiple large VIX options trades ranging from $3 million to $12 million were logged in recent sessions, according to flow data from SpotGamma, signaling institutional desks actively repositioning around binary event risk. The buyer appears to be wagering that the announcement won’t deliver a surprise that sends the fear gauge spiking, betting on implied volatility contraction after the event, a phenomenon known as « vol crush. »
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