OptionsHouse

Options Trading News

November 2, 2012  Fri 12:45 AM CT

VIX: SEE CHART GET CHAIN FIND STRATEGIES
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.
Share this article with your friends


Related Stories

VIX

VIX at highest level in 4 months

June 29, 2015

The CBOE Volatility Index is up 23.75 percent to 17.35 in midday trading, just off its intraday peak and its highest level since Feb. 11.

VIX

DRJ: Keep a close eye on volatility

June 29, 2015

As the Greek crisis intensifies, we are likely to see an explosion in volatility as widespread selling in European markets in turn pressures our indexes.

VIX

Video: Heavy July VIX call selling

June 24, 2015

After a steady stream of buying recently, Group One's Jamie Tyrrell says a trader sold 75,000 July 17 calls yesterday, and those levels are holding today.

VIX

Videocast: Cheap VIX call buying

June 23, 2015

With the volatility index down again today, Group One's Jamie Tyrrell says traders are buying July VIX calls but for much lower prices than last week.

VIX

Video: August insurance in VIX

June 22, 2015

After last week's heavy volume paused on Friday, Group One's Jamie Tyrrell says VIX call buying has resumed with traders focused on August.

Invest Like a Monster - San Antonio: October 9-10

Premium Services

Archived Webinar

Education & Strategy

Real vs. Synthetic

We now know that there are two ways of creating a call position, a put position, and a stock position. We can simply use the actual real security or we can recreate it synthetically. We can create these positions in both long and short forms and this ability sets up an interesting scenario--an arbitrage!

View more education articles »