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Why VIX and VXX Options Have Different Call-Put Open Interest

Article Quant Q&A · Author: Sanoj
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Summary

This note compares call and put open interest in options on the VIX and on VXX, a volatility-linked exchange-traded note. Although the instruments show similar growth in total open interest in the described chart, their call-to-put balances differ. The responses point out that the products do not have the same underlying exposure: VXX is a debt instrument linked to a volatility-futures index, while VIX options are based on VIX futures.

One response suggests that VIX calls may be used to hedge risky assets, while VXX options may be used to express views on futures roll-down, potentially favoring put structures. This is offered as a plausible explanation, not a demonstrated causal finding. The comparison provides no quantified data, contract-level analysis, or verification of trader motives, so open interest differences alone cannot establish why participants hold those positions.

Key ideas

  • VIX options and VXX options reference different products and exposures.
  • VXX is an exchange-traded note linked to a volatility-futures index, rather than the VIX index itself.
  • Different hedging and roll-down strategies may contribute to contrasting call-put open interest.
  • Open interest patterns suggest positioning differences but do not establish traders’ motives.

Tags

OptionsVolatilityMarket microstructure
Full text
# Call/Put Open interest difference on similar underlying


# Call/Put Open interest difference on similar underlying












High open interest for a given option contract is an indicator for interest in that option. For that reason I wanted to take a look at how the open interest of options on volatility have evolved in the last years. To do so, I took a look at VIX options and options on the VXX (ETN on the VIX, options exist since 2010). Plotting the results in a stacked bar chart:

The growth of total open interest has been identical on the two types of volatility options. But the relation between call and put open interest is very different. Considering the close relationship between the VIX index and the VXX ETN, this comes as a surprise to me. Does anyone have a possible explanation or idea why the call/put open interest ratio is so different between the two?

## Answer by John (score 1)

https://quant.stackexchange.com/a/54325

just like every ETF, it represents a sample and never tracks anything perfectly, it is worth reading the details, for instance at:

https://www.etf.com/VXXB

moreover the VXX is not even an ETF, but an exchange traded note, a debt instrument associated with a counterparty, hence a wholly different thing than the VIX index.

## Answer by user42108 (score 1)

https://quant.stackexchange.com/a/58807

Does anyone have a possible explanation or idea why the call/put open interest ratio is so different between the two?

They have different underlyings. VXX tracks SPVXSTR. VIX options are options on VIX futures. My guess is option volumes on VIX lean toward calls because they're often used as a way to hedge risky assets; options on VXX are often used to play the rolldown hence more volume in put structures. At the very least, this is consistent with the trade recommendations I see from the sellside/brokers. HTH.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.