VIX futures drop with volatility index
Chris McKhann | firstname.lastname@example.org
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: Near-term VIX calls purchased
February 5, 2016
Group One's Jamie Tyrrell says volatility traders had been looking farther out but are now picking up February 28 calls.
Videocast: Huge VIX call spread sold
February 4, 2016
As the market continues to churn, Group One's Jamie Tyrrell says today's big trade is the sale of a VIX March 30/40 call spread 115,000 times.
Videocast: Big March call spread in VIX
February 3, 2016
As the market pulled back this morning, Group One's Jamie Tyrrell says a major player bought a March 30/40 call spread 150,000 times.
Video: VIX traders buying March calls
February 2, 2016
As volatility rises with today's market decline, Group One's Jamie Tyrrell says traders are purchasing the VIX March 30 and 35 calls.
Video: VIX traders split on next move
February 1, 2016
With the market pausing after last week's rallies, Group One's Jamie Tyrrell says traders are buying both March 15 puts and Weekly 20 calls.