Options Trading News

December 27, 2012  Thu 12:14 AM CT

The CBOE Volatility Index surged near the 20 mark yesterday as equity indexes lost ground again.

The S&P 500 was down 6.83 points to 1419.83, finishing the day below its 20-day moving average for the first time in more than a month. It fell below 1417 on the morning selloff, then climbed up to 1424 with about an hour left to trade, but gave up ground into the closing bell. Resistance is at 1448 and support at 1400.

The Nasdaq 100 dropped almost 21 points to 2637.18, a decline of 0.8 percent, the biggest percentage loss among the major indexes. It has closed below its 20-day moving average for the last three sessions. It still has resistance at 2700 and support at 2628, then 2600.

The Russell 2000 declined 5.85 points to end the day at 838.89. The small-tap index closed right at its 10-day moving average and above the 20-day line. It has resistance at last week's highs around 852 and support at 821.

The VIX jumped 1.64 points, or 9.2 percent, to 19.48. That was near the morning high of 19.62. The volatility index is at a huge premium to the 20-day historical volatility for the SPX, which is at 9.6 percent.

The VIX futures were also higher, with the January contracts up 0.80 points to 19.45 and the February futures up 0.60 points to 19.55. This is the flattest term structure we have seen in quite some time. It also means that the structure of the iPath S&P 500 VIX Short-Term Futures ETN (VXX) won't take a toll on that fund.

The VIX options traded 170,000 contracts, with 106,000 calls. More than 175,000 VXX options changed hands putting it in front of the VIX for the first time in months. It had puts outpacing calls by 2 to 1.

The VVIX Index, which measures the implied volatility of the VIX options, was up 3.25 percent to 92.17.
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