Futures are catching up with the VIX
Chris McKhann | firstname.lastname@example.org
The VIX ended the session up 8.4 percent at 20.39, its highest close since March 6. It was above 21 in the final hour but pulled back as the S&P 500 pushed off its lows and finished at 1358.59, down 1.71 percent. The two indexes usually move inversely.
The April VIX futures were up 7.9 percent to 21.15, and the May futures were up 5.6 percent to 22.65. Contango still remains, with the futures out in October and November near 28, but this is the flattest term structure we have seen in months. (See chart below)
More than 546,000 VIX options traded yesterday, with calls outpacing puts by more than 2 to 1. The iPath S&P 500 VIX Short-Term Futures ETN (VXX) options traded 324,000 times, also with far more calls than puts. The VVIX Index, which measures the implied volatility of the VIX options, was up around 109 to 110 through the day, its highest levels since it was launched on March 14.
(Chart courtesy of CBOE)