VIX ends near highs even as SPX rises
Chris McKhann | email@example.com
The CBOE Volatility Index finished yesterday just off its session highs even as the S&P 500 rose as well, departing from their usually inverse relationship.
The VIX ended the day up 0.59 points, or 3.75 percent, at 16.32 after hitting a high of 16.53 in the last hour. The SPX finished the day at 1444.49, up slightly less than 4 points after steadily giving back gains from the first hour of the session.
The VIX futures ended the day mixed. The October contracts were up 0.60 points to 17 even as it held its premium over the spot index reading. The November futures gained 0.20 points to close at 18.25, and the December futures fell 0.05 points to 19.15.
The VIX options traded 280,000 contracts with 196,000 calls. The iPath S&P 500 VIX Short-Term Futures ETN (VXX) saw 138,000 options change hands, with slightly more calls than puts.
Videocast: VIX calls target 2008 level
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Group One's Mike Palmer says at least one trader is buying VIX May 70 calls, looking for levels not seen since September 2008.
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Group One's Jamie Tyrrell says traders are taking both sides of the VIX March 30/50 call spread, with heavy volume at yesterday's close taking it to 500,000.
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With the market "all over the map today," Group One's Jamie Tyrrell says traders are selling the VIX February 28 calls and the March 30/40 call spread.
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Group One's Jamie Tyrrell says traders are buying February calls in the VIX amid today's market drop, targing the 25 to 29 levels.
Video: Near-term VIX calls purchased
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Group One's Jamie Tyrrell says volatility traders had been looking farther out but are now picking up February 28 calls.