Mixed signals in volatility measures
Chris McKhann | firstname.lastname@example.org
The S&P 500 ended the week at 1518.20, up 3.52 points on the day. It had been down at the open, briefly breaking below 1502 before rallying into positive territory. The SPX settled in through the afternoon in a low-volatility range around that 1518 level and finished back above its 20-day moving average. Resistance is at 1530 and support at 1485.
The Nasdaq 100 was up 9.17 points to close at 2747.75. The NDX broke below 2714 just after the open, and it too settled into a tight range for the afternoon. Resistance is at 2782 and support at 2690.
The Russell 2000 followed the same pattern, finishing the week at 914.73, up 3.62 points. The small-cap index barely closed above its 10-day moving average. It has resistance at 932 and support at 894.
The VIX was down 0.15 points to close the week at 15.35. This could be chalked up to the gains in the S&P 500 but was more likely caused by the fact that it was a Friday, when the weekend time decay gets priced into the SPX options.
The VIX futures, in contrast, were all higher. The March futures were up 0.30 points to 16.45, while the April futures gained 0.20 points to close at 16.90. The May futures gained 0.25 points to 17.30.
The VIX options traded just shy of 500,000 contracts, with calls outpacing puts by almost 2 to 1. The VVIX Index, which measures the implied volatility of the those options, was up 1.5 percent to 87.83.