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The cost of protecting a Vse (VSEC) position against downside and upside moves, now and historically, with the related option volume.
For the latest figures, see VSEC options overview.
Change Single-Leg Trading Volume:
Call Volume
OTM Calls (< 25 Delta)
ATM Calls (25 to 75 Delta)
ITM Calls (> 75 Delta)
Upside Calls (5% - 10% Above ATM)
Wing Calls (10% + Above ATM)
Put Volume
OTM Puts (< 25 Delta)
ATM Puts (25 to 75 Delta)
ITM Puts (> 75 Delta)
Downside Puts (5% - 10% Below ATM)
Correction Puts (10% - 20% Below ATM)
Crash Puts (20% + Below ATM)
Calls, 5 Days or Less to Exp
OTM Calls (< 25 Delta)
ATM Calls (25 to 75 Delta)
ITM Calls (> 75 Delta)
Upside Calls (5% - 10% Above ATM)
Wing Calls (10% + Above ATM)
Puts, 5 Days or Less to Exp
OTM Puts (< 25 Delta)
ATM Puts (25 to 75 Delta)
ITM Puts (> 75 Delta)
Downside Puts (5% - 10% Below ATM)
Correction Puts (10% - 20% Below ATM)
Crash Puts (20% + Below ATM)
Calls, 10+ Days to Exp
OTM Calls (< 25 Delta)
ATM Calls (25 to 75 Delta)
ITM Calls (> 75 Delta)
Upside Calls (5% - 10% Above ATM)
Wing Calls (10% + Above ATM)
Puts, 10+ Days to Exp
OTM Puts (< 25 Delta)
ATM Puts (25 to 75 Delta)
ITM Puts (> 75 Delta)
Downside Puts (5% - 10% Below ATM)
Correction Puts (10% - 20% Below ATM)
Crash Puts (20% + Below ATM)
