Options Trading News

November 27, 2012  Tue 12:45 AM CT

Equity indexes ended yesterday's session at their best levels, though the S&P 500 closed slightly negative.
The S&P 500 was down 2.86 points to close at 1406.29 after dipping below 1398 two hours into the session. The SPX held onto most of its gains from Friday's shortened session, which saw the index close above its 20-day moving average for the first time in more than a month. Support is now 1385 and resistance at 1430.

The Nasdaq 100 finished at its session high, up 12.08 points to 2651.67. That 0.46 percent gain brought the NDX to its highest close since Nov. 6. The index also closed above its 20-day moving average, for the first time since Oct. 4. Support is 2562 and resistance at 2700.

The Russell 2000 finished at the high of the day like the other indexes, gaining 1.84 points to close at 809.02. It has support and resistance at 790 and 826 respectively.

The CBOE Volatility Index was up 0.36 points, or 2.4 percent, to 15.50, though that was the low for the session. The VIX was up mainly because it was coming off a holiday-shortened week, and the SPX options on which the index is based were repriced for a full week of time decay.

All of the VIX futures were lower on the day, a more telling look at actual volatility trading. The December futures were down 0.50 points, or 3.1 percent, to 15.60, barely above the spot index reading. The January futures fell 0.45 points to 17.45.

Total option volume was quite light, but the VIX contracts had a huge day with more than 934,000 traded, dominated by 773,000 calls. The SPX saw 460,000 options change hands, with puts slightly outpacing calls. The VVIX Index, which measures the implied volatility of the VIX options, was down 0.49 percent to a new all time low of 82.45.
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