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Some on Wall Street are speculating that VIX, the CBOE's volatility index, may be manipulable after some unusual price swings just as VIX futures were expiring. Though these suspicions do not have concrete evidence at this point, Bloomberg reviews the odd price gyrations and thoughts from prominent macro traders.
Pravit Chintawongvanich, head of derivatives strategy at Macro Risk Advisors, saw evidence the VIX was pushed higher intentionally. Among other things, roughly $2.1 million was spent in the runup to the settlement on “extremely irrelevant” options that were tied to a 50 percent drop in the S&P 500. A trade of 13,923 May puts on the S&P 500, with a strike price of 1200, took place just as markets opened at 9:30 a.m. Before Wednesday, the option was active only on five sessions in the past two months, with daily volume never exceeding 75 contracts.
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