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The Reality of VXX Volume

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When a big call buy coincides with a market top, we notice, but there are big call buys most every day.

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Bespoke yesterday noted an increase in VXX volume, so figured we'd take a look at it in 3D here.



First off, the real spike was back in January, and was well-timed. For the buyers at least. However, it reached a crescendo in early February right at what looks like a pretty distinct high. Those bars coming out of the left compare net volume at varying price levels, and as you can see, the low 30s remains the most popular price level here over the past half year. You can also see that reflected in the On Balance Volume, which peaked then and proceeded to fall off a cliff. Which isn't too surprising given that this pup went down on 18 of 19 sessions.

I'm also not sure I see much volume spike here. Other than a busy Monday, the numbers look in line with everything since January.

But even if we did, I really feel the world has selective memory when it comes to VXX volume, or those big VIX call buys. The natural order flow in both is clearly to buy, for the same reason indices tend to see more put interest than call interest. By and large these are hedging vehicles and someone along the food chain is worried about tail risk. When a big VIX call buy coincides with a market top, we notice, but the point is, there are big call buys most every day in there. And most days over the past month have seen ugly volatility action. Someone will catch the bottom in the VIX, but it's likely just against something else and not pure speculation. And certainly unlikely it's the only stab that buyer made.
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