VIX futures, index close near day's highs
Chris McKhann | firstname.lastname@example.org
The CBOE Volatility Index finished the day just off its highs as the S&P 500 slipped barely into the red.
The VIX was up 1.15 points, or 8.4 percent, to 14.85, just after it crested at 15 into the bell. The SPX fell before the bell but recovered into the close to finish down 0.18 points at 1403.93. The two indexes typically move inversely.
The VIX futures were also just off session highs. The August futures were up 0.60 points, or 3.8 percent, to 16.40. The September futures were up even more, gaining 0.70 points to close at 18.95.
The VIX options traded 453,000 contracts, with 290,000 calls. The iPath S&P 500 VIX Short-Term Futures ETN (VXX) saw more than 174,000 options change hands, 101,000 of which were calls. The VVIX Index, which measures the implied volatility of the VIX options, was up more than 5 percent to above 94.
Videocast: Traders shift as VIX drops
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As the volatility index falls with today's rally, GroupOne's Jamie Tyrrell says traders are no longer looking for crash protection in May contracts and are buying June VIX calls instead.
Videocast: View of VIX before settlement
May 16, 2013
GroupOne's Dominic Salvino, filling in for Jamie Tyrrell, says VIX traders are targeting the 13 or 14 level ahead of May settlement next week.
VIX rises even as SPX breaks record
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Equities posted more gains yesterday, while the CBOE Volatility Index bucked its usually inverse relationship with the S&P 500 and rose along with stocks.
Videocast: Low premiums in volatility
May 15, 2013
GroupOne's Jamie Tyrrell says VIX premiums are surprisingly low, indicating that traders are not expecting much of a move before next week's May settlement.