OptionsHouse

Options Trading News

March 12, 2013  Tue 1:16 AM CT

VIX: SEE CHART GET CHAIN FIND STRATEGIES
The CBOE Volatility Index dropped to its lowest level in nearly six years as equity indexes climbed again yesterday.
 
The S&P 500 added 5 points to end the session at 1556.22, its highest close since Oct. 12, 2007, the week of the its all-time high. That closing high, which is just 9 points away, will likely provide some resistance. The SPX opened the day lower but found support at 1548 and climbed from there, finishing at the day's highs. Support is at 1520.

The Nasdaq 100 was up 7.70 points to 2811.86, its highest close since Oct. 5, 2012. It fell to 2792 in the morning before heading higher. Resistance is at 2846 and support at 2750.

The Russell 2000 was barely higher, essentially unchanged at 942.51, though it still counts as a new all-time high. The small-cap index also set a new intraday high as it climbed to 942.62 mid-day. There is some resistance at 950, and support is at 915.

The VIX was down 1.03 points, or 8.2 percent, to 11.56. It fell all morning and held around 11.70, then collapsed into the close. The sizable loss was caused largely by the roll of the VIX's calculation, which dropped the March S&P 500 options.

The VIX futures followed suit, with the March contracts losing 0.80 points to finish at 13 even. The April futures were down 0.70 points to 14.40. This had the iPath S&P 500 VIX Short-Term Futures Note (VXX) down 4.95 percent to 20.56, yet another new all-time low.

More than 732,000 VIX options traded on the day, with 415,000 calls. The VXX options turned over 286,000 contracts, with puts making up 175,000 of that volume. The VVIX Index, which measures the implied volatility of the VIX options, was up 0.9 percent to 77.32, above the lows of a month ago but still at the very low end of its range.
Share this article with your friends


Related Stories

VIX

Videocast: Traders see floor in VIX

March 2, 2015

Group One's Jamie Tyrrell says traders are selling March VIX puts, apparently believing that further downside potential in the volatility index is limited.

VIX

Videocast: VIX 'cash spread' hedge

February 27, 2015

Group One's Mike Palmer explains the strategy behind a VIX "cash spread" as traders cover positions going into the weekend.

VIX

Videocast: Futures see higher VIX

February 26, 2015

Although the spot volatility index remains below 14, Group One's Dominic Savino says the March VIX futures are targeting the 16 level.

VIX

Videocast: Low short-term volatility

February 25, 2015

Although a big player is buying VIX March 23 calls, Group One's Mike Palmer says the iPath S&P 500 VIX Short-Term Futures Note (VXX) settled today near 11.

VIX

Videocast: VIX falls as Yellen talks

February 24, 2015

Group One's Mike Palmer says traders are betting on lower volatility amid speculation that the Federal Reserve will not hike interest rates before the end of the year.

OptionsHouse

TRADING WEEKLY OPTIONS

The fastest money in the market
View full report »

Premium Services

Webinar Recording

Turbo Charge Your Trading Profits

Education & Strategy

The Strike-Based Greeks

The other Greeks (Gamma, Vega, and Theta) are calculated by using month and strike data, and not by individual option. These are called strike-based Greeks. Gamma, Theta, and Vega are all strike-based Greeks

View more education articles »