Options Trading News

January 23, 2013  Wed 1:16 AM CT

The major equity indexes pushed higher again yesterday, driving the CBOE Volatility Index and its futures down further.

The S&P 500 gained 6.58 points to close at its session high of 1492.56, another new five-year high. Resistance remains at 1523 and support at 1457.

The Nasdaq 100 gained almost 3 points to finish at 2746.19. It continues to underperform its peers as that close remains below Thursday's. The NDX is 130 points off its September highs and is just above its 10-day moving average. Resistance is at 2785 and support at 2704.

The Russell 2000 finished at yet another all-time high of 899.23. The RUT gained more than 6 points, or 0.72 percent--the best percentage gain of the three indexes--and is up about 20 percent from the mid-November lows. It has support at 872.

The VIX was higher for almost all of the day but collapsed further into the close, finishing down 0.03 points to 12.43--its lowest level since April 2007. This was relative strength compared to the actual drop in volatility levels because the SPX options, on which the VIX is based, were getting repriced after the three-day weekend.

The lower volatility levels were reflected in the VIX futures. The February VIX contracts were down 0.60 points to 14.05, and the March futures lost 0.95 points to 15.35. The open interest set a new high of 454,000 contracts coming into the day.

The drop in those VIX futures left the iPath S&P 500 VIX Short-Term Futures ETN (VXX) down to yet another new low, losing 2.8 percent to close at 23.30.

More than 840,000 VIX options changed hands, putting it second on the total volume list, with 475,000 calls. The VVIX Index, which measures the implied volatility of the VIX options, was barely higher off of Friday's all time low.
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