Options Trading News

The CBOE Volatility Index ended yesterday at its session low as the S&P 500 ran to the highest level since June 2008.

The VIX finished at 15.60, down 2.14 points, or 12 percent on the day. That takes the index back to the middle of its range from Aug. 24 and well above its five-year low of 13.30 on Aug. 17.

The S&P 500, meanwhile, rose 28.68 points to close at a four-year high of 1432.12. The SPX and the VIX usually move inversely.

The VIX futures were all lower as well, with September contracts down 2.05 points, or 11.3 percent, to 16.10. The October futures lost 1.85 points, or 9 percent, to close at 18.50.

This action sent short-term VIX products down to significant new lows. The iPath S&P 500 VIX Short-Term Futures Note (VXX) closed at $9.98, down more than 10 percent and into single digits for the first time.

The VelocityShares Daily 2X VIX Short-Term Note (TVIX) sank to $2.01 and may well die off altogether. However, we will likely see a reverse split that in the VXX and the ProShares Trust Ultra VIX Short Fund (UVXY).  

The VIX options were second in total volume yesterday at more than 671,000, with calls slightly outpaced puts. In unusual action, four of the top five contracts were puts.

The January 25 puts traded 32,000 times against open interest of around 21,000 and were  bought for $4.53. The VVIX Index, which measures the implied volatility of the VIX options, was down 7.2 percent to a new low of 83.65.

The VXX options traded 400,000 contracts, a high for that underlying, with 285,000 calls.