Options Trading News

March 15, 2013  Fri 1:16 AM CT

The major equity indexes reached more new highs yesterday, sending the CBOE Volatility Index to new six-year lows.

The S&P 500 added 8.71 points to close the day at 1563.23, just a couple of points off its all-time closing high from 2007. It rallied at the open and again at the close to finish just off its session high. Resistance is at 1565 and support at 1525.
The Nasdaq 100 was up 8.62 points to close at 2807.30. That was in the middle of the day's range and leaves it within the narrow band of the last two weeks. Resistance is at 2846 and support at 2760.

The Russell 2000 hit yet another all-time high, gaining 9.17 points to 953.07. It climbed all day and closed at its session high. It has support at 920.

The VIX tumbled to its lowest levels since February 2007, falling to 11.05 just before closing at 11.30. It finished the day down 0.53 points, or 4.48 percent.

Even at these levels, the VIX remains at a substantial premium to actual volatility, as the 10-day historical volatility fell back to 5 percent.

The March VIX futures have just three days left to trade and were down 0.40 points to 12.55, but they still carry a substantial premium to the spot VIX's 11.30 reading. The April futures were down 0.1 to 14.6. That left the iPath S&P 500 VIX Short-Term Futures Note (VXX) down 1.91 percent to $20.53.

More than 882,000 VIX options traded on the day, led by 630,000 calls. Despite this action the  VVIX Index, which measures the implied volatility of those options, was down 1.02 percent to 83.50.

Most of the VIX option action was in a four-way call spread. A trader sold 111,650 of the May 18/25 call spread to buy the same number of the same spread in June. This position is apparently looking for a potential pop in the VIX, but not until June. 
Share this article with your friends

Related Stories


Videocast: Volatility levels decline

October 6, 2015

Group One's Jamie Tyrrell says volatility trading today is implying that the type of VIX action from August and early September will not repeat itself.


Video: Traders see elevated VIX

October 5, 2015

Even with the volatility index falling below 20 today, Group One's Jamie Tyrrell says traders are buying calls and selling puts in the VIX.


Videocast: Target 35 level in VIX

October 2, 2015

Group One's Jamie Tyrrell says traders are targeting the 35 level for the volatility index in October, November, and December contracts.


Video: Traders sell VIX premium

October 1, 2015

Although the spot VIX remains elevated, Group One's Jamie Tyrrell says implied volatility is "pretty normal" for October.


Video: Sharp moves seen in VIX

September 30, 2015

Group One's Jamie Tyrrell says an October 23.50 straddle traded for about $5, indicating that a big move is expected in volatility levels.

Invest Like a Monster - San Antonio: October 9-10

Premium Services

Archived Webinar

Education & Strategy

The covered call and unhedged risk

I have written a few things on the Covered Call Strategy over the last two weeks. Please understand that those two previous articles plus this one do not constitute a proper, fully in-depth lesson on the Covered Call Strategy like we have in our classes at Option Monster Education. I have picked out a few topics that I believe were worth noting and today I am going to add the final one.

View more education articles »