Options Trading News

December 28, 2012  Fri 1:16 AM CT

Equity indexes rebounded to almost even at the end of yesterday's session, driving the CBOE Volatility Index and its futures slightly lower.

The S&P 500 closed lower by just 1.73 points to 1418.10 after breaking below 1402 in midday trading. The index climbed in the final two hours on reports that the House would convene Sunday night to address the fiscal cliff. Support held at 1400, and resistance is still at 1448.

The Nasdaq 100 was in positive territory just before the bell but ended the day down 4.24 points to 2632.94. Even thought it slipped into red, the NDX still finished well above its intraday low under 2600. That level remains support, while resistance is still at 2700.

The Russell 2000 slipped 1.49 points to finish at 837.40 but was well off its intraday low of 828. The small-cap index remained above support at 821, while resistance is at 852.

The VIX spent much of the day above the 20 mark but closed at 19.47, down just 0.01 points. It had hit a high of 20.90 as the S&P 500 bottomed. The VIX still maintains a huge premium to the 20-day historical volatility of the SPX, which is 9.6 percent.

The VIX futures were also lower. The January futures slipped 0.40 points, or 2 percent, to 19.10. The February contracts were down 0.15 points to 19.40, so the spot volatility index remains above the two nearest-month futures.

More than 611,000 VIX options traded, placing it fourth in total volume. Of that number, 340,000 were calls.

The VVIX Index, which measures the implied volatility of the VIX options, ended the day down 1.4 percent to 90.89.
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