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.
Video: Traders targeting higher VIX
October 9, 2015
The volatility index is little-changed today, but Group One's Jamie Tyrrell says some big trades are still looking for a higher VIX in October.
Video: VIX October 22 calls bought
October 8, 2015
The VIX Weeklies began trading today, but Group One's Jamie Tyrrell says the big trade is in standard options with a purchase of 45,000 VIX October 22 calls.
Videocast: VIX call buyers return
October 7, 2015
Group One's Jamie Tyrrell says traders were selling VIX calls early in the day but reversed course as the market rally fizzled.
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.