VIX gains but sees most futures decline
Chris McKhann | email@example.com
The VIX finished the day at 17.98, up 0.88 points, or 5.15 percent. The S&P 500 was down just 2.22 points to 1352.46 at the end of the day after climbing off its lows in the afternoon. The two indexes are inversely correlated.
Part of the VIX reaction was simply the weekend effect as the SPX options were repriced after the weekend time decay. The volatility index is derived from those options.
The VIX futures are a better reflection of volatility measures and were mostly lower. The July futures were the only ones that gained, up 0.10 points, or 0.55 percent, to 18.35. The August contracts were down 0.20 points to 20.40. The September and October futures were each down 0.15 points, to 22.15 and 23.25 respectively.
The action left the iPath S&P 500 VIX Short-Term Futures ETN (VXX), which comprises the two nearest-month futures, down 0.83 percent to 14.14.
More than 373,000 VIX options traded, with calls outpacing puts better than 2-1. The VXX options traded 189,000 contracts, with 101,000 puts.
The big trade in the VXX options was a January put spread. A block of 18,400 January 9 puts was purchased for $0.59 while the same number of January 7 puts were sold for $0.15. (See our Education section)