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November 20, 2013  Wed 9:07 AM CT

VIX: SEE CHART GET CHAIN FIND STRATEGIES
The November VIX futures settled this morning at 14.12, well above yesterday's close and above the range of the spot volatility index today.

The VIX is down 0.06 to 13.33 right now. It jumped to 13.94 at the open, but this all comes with the S&P 500 higher and in a very tight 3-point range. The VIX and the SPX typically trade inversely.

It is important to remember that the futures settlement is based on the traded prices of the SPX options at the open, while the spot VIX is based on the midpoint of the bid/ask spread.
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The Movement of Delta

In our last column, we spoke about delta. You might remember that we discussed what delta was and what factors affected or changed delta. As you recall, we stated that three factors will have an effect on delta. They were movements of time, volatility, and underlying price. Today, we want to take a further look into the change of delta, this time focusing on change due to the movement in the underlying price. 

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