VIX futures drop with volatility index
Chris McKhann | email@example.com
The CBOE Volatility Index, its futures, and the S&P 500 all ended down yesterday as we head into several days of market-moving news.
The VIX fell 0.24 points, or 1.3 percent, to close at 17.74. It was lower all day as the SPX dipped into negative territory on several occasions before finishing down 1.5 points to 1403.44. The two indexes typically move inversely.
The VIX futures were lower as well. The September futures were down 0.50 points, or 2.7 percent, to 18.15. The October and December futures were both down 0.40 points to 20.35 and 22.15 respectively.
While implied volatility came down slightly, they all continue to carry huge premiums to actual volatility. The 20-day historical volatility remains at a 52-week low of 6.25 percent.
More than 330,000 VIX options traded on the day, 242,000 of which were calls. The iPath S&P 500 VIX Short-Term Futures ETN (VXX) saw 195,000 options change hands, with calls outpacing puts by 2 to 1.
Videocast: Futures see higher VIX
February 26, 2015
Although the spot volatility index remains below 14, Group One's Dominic Savino says the March VIX futures are targeting the 16 level.
Videocast: Low short-term volatility
February 25, 2015
Although a big player is buying VIX March 23 calls, Group One's Mike Palmer says the iPath S&P 500 VIX Short-Term Futures Note (VXX) settled today near 11.
Videocast: VIX falls as Yellen talks
February 24, 2015
Group One's Mike Palmer says traders are betting on lower volatility amid speculation that the Federal Reserve will not hike interest rates before the end of the year.
Videocast: The VIX ahead of Yellen
February 23, 2015
Volatility has calmed down after a rocky open today, but Group One's Mike Palmer says the VIX could move early tomorrow with Senate testimony by Fed Chair Janet Yellen.
Videocast: VIX on eve of settlement
February 17, 2015
The spot volatility index has bounced as expected after the three-day weekend, and Group One's Jamie Tyrrell says the action is in the VIX puts ahead of tomorrow's February expiration.