OptionsHouse

Options Trading News

November 8, 2012  Thu 1:16 AM CT

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


Related Stories

VIX

Videocast: VIX action 'wishy washy'

January 29, 2015

After the VIX soared late yesterday, Group One's Jamie Tyrrell says today's volatility trading is "wishy washy" as the pits try to decide which way the market is heading.

VIX

Videocast: April call spread in VIX

January 28, 2015

Low volumes persist in volatility trading, but Group One's Jamie Tyrrell says one trader is buying a VIX April 18/25 call ratio spread.

VIX

VIX rises as equities fall on earnings

January 28, 2015

Equity indexes lost ground after a slew of disappointing earnings reports but did finish off the lows of the session. The CBOE Volatility Index gained nearly 11 percent.

VIX

Videocast: Traders buying VIX calls

January 27, 2015

Group One's Mike Palmer says one large trader is buying VIX February 26 calls, but volume is slow because of the big storm.

VIX

Volatility falls as equities end mixed

January 27, 2015

The major equity indexes finished yesterday mixed after climbing off morning lows, while the CBOE Volatility Index fell nearly 7 percent.

OptionsHouse

TRADING WEEKLY OPTIONS

The fastest money in the market
View full report »

Premium Services

Archived Webinar

Option Money Machine Winter Classic

Education & Strategy

The rolling technique

In the January 7th edition of Advantage Point, we initiated the purchase of a second week-out GOOGL 535 put at...

View more education articles »