Options Trading News

November 8, 2012  Thu 1:16 AM CT

The equity indexes sold off hard yesterday, all finishing the session down more than 2 percent as the CBOE Volatility Index closed above 19.

The S&P 500 was down 33.86 points, or 2.37 percent, to 1394.53--its lowest close since Aug. 6. The SPX fell into the bell but stayed above its session lows under 1389. It is now well below the 10- and 20-day moving averages and broke down through support at 1403.

The losses in the equity markets have been attributed to the Obama win, but the futures were flat in the pre-market until 6 a.m. ET and the release of German economic numbers. Resistance will is now at 1433 and support at 1365.

The Nasdaq 100 fell 68.36 points, or 2.55 percent, to finish at 2612.69, its lowest close since July. It too slipped back toward its lows but stayed above them, with resistance at 2696 and support at 2550.

The Russell 2000 lost 21.29 points, or 2.58 percent, to close at 804.52. It now has resistance at 825 and support at 795.

The action drove the VIX up 1.50 points, or 8.5 percent, to 19.08, its highest close since July 25. Some were surprised that the volatility index was not up more, but it was already carrying a huge premium to actual volatility in the SPX.

The VIX remains above its November futures, which gained 1.80 points, or 10.56 percent, to close at 18.85. The December futures still carry a small premium, as they were up 1.35 points to 19.45.

Total option volume was strong with more than 19 million contracts changing hands. More than 1.1 million SPX options traded, though puts only slightly outpaced calls. The VIX options turned over 348,000 contracts, with 216,000 calls. The The VVIX Index, which measures the implied volatility of the VIX options, was up 8.2 percent to 94.75.

Yesterday was also the first time that I can ever remember seeing the VIX options and futures halted, as they were for about 20 minutes. This apparently came from a bad print in the VIX futures, though some trades may have been executed in the options based on the bad data.
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