The Daily Vol (SPY, VIX)

The CBOE Volatility Index VIX is currently trading 42.25, off 7.73% on the session. This comes after the index hit a high of 48.20 earlier in the session, as the S&P 500 SPY was selling off hard, down to the 1050 handle. The market has since rallied off those lows and is now up on the session by 4.6 points at 1,076. The front month VIX future is flat on the session, currently trading $36.00, whereas the July and August contracts are lower slightly on the session at $35.65 and $33.70, respectively. Whereas traders were coming for upside calls and increased volatility in all months over the past few days, today I am seeing the opposite with traders increasingly selling premiums across the board. This can especially be seen in the front month, where the $35 straddle was sold down from $11.40 earlier in the session to its current market of $10.40 bid at $10.90. Traders who are buying this straddle are looking for movement in the VIX sharply higher, above 46; this would mean that during June we would have to continue to see movement in the S&P 500 of 30+ handles every single day, something that we are barely seeing now. I am taking the opportunity to get a little short premium as well and am selling the June $60/22.50 strangle for $1.25.