Options Trading News

November 2, 2012  Fri 12:45 AM CT

The broad equity indexes all climbed more than 1 percent, driving the CBOE Volatility Index significantly lower.
The S&P 500 was up 1.09 percent, or 15.43 points, to close at just off the session highs at 1427.59. Support is now at 1405 and resistance at 1440.

The Nasdaq 100 followed a similar pattern as it ended the session up 39.60 points, or 1.5 percent, at 2687.52. Support is at 2606 and resistance at 2715.

Both the SPX and NDX closed right at the resistance of their respective 10-day moving averages and below their 20-day moving averages.

The Russell 2000 was up 1.11 percent, gaining 9.12 points to close at 827.85. It too hit its session high just before bell, pushing up through its 10-day moving average and finished right at its 20-day moving average. Support remains at 807 and resistance at 846.

The VIX dropped 10.27 percent, or 1.91 points, to finish at 16.69 after steadily losing ground all day. The VIX remains at a premium to actual volatility of the S&P 500. The 10-day historical volatility for the SPX is below 13 percent, while the 20- and 30-day readings are below 11 percent.

October was a record month for the VIX futures, which fell sharply yesterday. The November futures lost 2 points, or 10.55 percent, to finish at 16.95. December futures were down 1.70 points to 17.80.

More than 720,000 SPX options traded, with a put/call ratio of about 2 to 1. The VIX options traded 350,000 contracts, led by 215,000 calls.

The action drove the VVIX Index, which measures the implied volatility of the VIX options, down 9.45 percent to 81.70, a new all-time low. Although it is a very new index, new lows have been coinciding with equity tops.
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