The CBOE Volatility Index surged to close at its high of the day but was still outpaced by levels in the VIX futures.
The VIX ended the day at 23.56, up 2.33 points, or 11 percent. The index rose through the afternoon as the S&P 500 first gave up gains and then pushed lower to close just off its low.
The June VIX futures were up even more despite the premium they already carried. They gained 2.85 points, or 13 percent, to finish at 24.55. The July futures also outpaced the spot VIX, up 2.55 points, or 10.7 percent, to 26.40.
This is very unusual, especially on a Monday, when we typically see relative strength in the VIX resulting from the repricing the SPX options after the weekend time decay. The volatility index is based on those SPX contracts.
More than 538,000 VIX options traded on the day, dominated by 432,000 calls. The iPath S&P 500 VIX Short-Term Futures ETN (VXX) saw 138,000 options trade, with 76,000 calls.
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