Nothing much doing in the VIX options products lately as per Jamie. Just to prove I don’t make up the “Friday Effect” that accounts for modestly depressed VIX readings, Jamie says it too in this video. Which I guess doesn’t actually prove us right, just that we agree that it happens.

The big plays have been way upside call speculation in July VIX. Buyers of the July 45-55 call spread, and the July 50 calls straight up. Keep in mind, these are cheap dollar amount plays and perhaps just a form of insuring a portfolio after a nice run.

On the futures front, interesting stuff here from Jason Goepfert.

…..as of the latest release covering positions through the June 9th close, the CFTC shows that large speculators are net long VIX futures to a degree not matched in the past few years.

Normally, large speculators are more of a contrary indicator than anything when their positions reach an extreme, but that hasn’t worked in the VIX. This is a relatively new futures contract, and it can act pretty screwy when compared to the cash VIX index, but the last couple of times we saw large specs build big positions (relatively speaking) in the futures, we saw implied volatility jump over the next couple of months.