Options Trading News

October 24, 2012  Wed 12:45 AM CT

The major equity indexes ended sharply lower yesterday as the CBOE Volatility Index jumped more than 13 percent.

The S&P 500 fared the worst of the big three indexes, losing 1.44 percent, or 20.71 points to close at 1413.11. That is its lowest close since Sept. 5, before it gapped higher. The SPX fell as low as 1407 during the session, which is now its first level of support. The next potential level down is 1397, while resistance is now at 1440 and then 1465.

The Nasdaq 100 was down 1.06 percent, or 28.54 points, to 2666.02. The NDX finished just above its morning low and had its lowest close since Aug. 2. Support is still at 2650 and resistance at 2715.

The Russell 2000 dropped only 0.53 percent, or 4.32 points, to close at 816.20. The RUT traded as low as 807 in the morning and climbed from there. Resistance remains at 846 while the index sits at its first support, with 807 as the next potential level down.

The VIX rose 2.21 points, or 13.3 percent, to finish the day at 18.83. It reached a high of 19.65 in the morning.

The November VIX futures followed the spot volatility index higher, rising 1.80 points to 19.15. The December futures gained 1.30 points to finish at 19.35.

More than 862,000 SPX options traded on the day, evenly split between calls and puts. That is unusual for such a large selloff, when we would normally expect puts to significantly outpace calls.

The VIX options turned over 458,000 times, 293,000 of which were calls. The VVIX Index, which measures the implied volatility of the VIX options, was up 7.76 percent to 99.66.
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