Options Trading News

January 22, 2013  Tue 12:14 AM CT

The major equity indexes had another good week with two of the three finishing Friday at highs, driving the CBOE Volatility Index lower in the process.

The S&P 500 rose 5.04 points to reach another five-year high. It slipped in the morning but climbed all afternoon to finish at its session peak of 1485.98, its highest close since the end of 2007. Resistance is now 1523 and support 1457.

The Nasdaq 100 lost ground on Friday, down just under 4 points to close at 2743.24. Resistance is now at 2785, and first support is 2704.

The Russell 2000 was up 2.44 points to close at 892.8, another all-time high. It has a first level of support at 872.

The VIX collapsed on Friday, giving up 1.11 points, or 8.2 percent. It finished the week at 12.46, its lowest close since April 2007. That was when the SPX was trading around 1530 and before it climbed to the high of 1576.

The VIX futures fell as well, with the February contracts down 1.10 points to 14.60. The March futures lost 0.75 points to close at 16.25.

This drove the iPath S&P 500 VIX Short-Term Futures ETN (VXX) to yet another all-time low of 23.88, down 6.44 percent on the day. The VXX is down roughly 30 percent from the open of trade on Dec. 31.

More than 799,000 VIX options changed hands, led by 579,000 calls. Despite the action, the VVIX Index, which measures the implied volatility of the VIX options, fell 6.8 percent to a new low of 73.43.

That compares to unusual data in the historical volatility of the VIX. The 20-day reading remains elevated at 133 percent, just off 52-week highs, but the 10-day reading was at a new 52-week low below 30 percent earlier in the week.
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