OptionsHouse

Options Trading News

February 26, 2013  Tue 12:45 AM CT

VIX: SEE CHART GET CHAIN FIND STRATEGIES
Yesterday's broad selloff in equity indexes accelerated into the close as the CBOE Volatility Index spiked higher.

The S&P 500 gave up 27.75 points, or 1.83 percent, to finish at 1487.85--the session low and its lowest close since Jan. 18. It had climbed above 1525 early in the morning but gave up those gains just before noon, then took a steep leg lower in the final hour of trade. The SPX will likely face resistance at that 1525 level, while it may find some support at 1472 and then 1450.

The Nasdaq 100 lost 36.31 points, or 1.33 percent, to end the session at 2700.97. The NDX had climbed above 2760 in the first hour and also saw accelerated selling in the last hour, closing at the day's low and its lowest level of 2013. If it breaks below the 2700 level, the next levels of support are 2650 and then 2600, while resistance will be seen at 2764.

The Russell 2000 led the way down, giving up 20.31 points to its finish at its session low of 895.84 after climbingn near 920 in the morning. That 2.22 percent drop also brought the small-cap index to its lowest close since Jan. 18. The 920 level is now resistance for the RUT, which has some support at 880 and then 850.

The VIX rocketed 4.82 points, or 34.02 percent, to end the day at 18.99, just off its session high of 19.28. The volatility index had fallen to 13.57 in the first hour, so the move from low to high was more than 42 percent. (See "Reasons behind huge spike in VIX")

The VIX also closed above the first six months of VIX futures. I can't remember the last time that has happened, if at all, since 2008.

The VIX futures volume topped 302,000 contracts, a new record by far. The March VIX futures were up 2.85 points to 17.70. Those contracts were above the next two months' futures, also something we haven't seen in quite awhile. The April futures were up 1.70 points to 17.40, and the May futures were up 1.15 points to 17.60.

The iPath S&P 500 VIX Short-Term Futures Note (VXX) was up 13.66 percent to close at 25.55. It finally is benefiting from the VIX term structure and is once again an interesting hedge vehicle.

The VIX options traded 646,000 contracts in heavy volume, led by 435,000 calls. The VVIX Index, which measures the implied volatility of those VIX options, was up 20 percent to 94.34.

The volatility index has climbed about 50 percent in just the last week. That is right in line with the increase in the 20-day historical volatility of the SPX. The 10-day reading is up 100 percent.
Share this article with your friends


Related Stories

VIX

VIX at highest level in 4 months

June 29, 2015

The CBOE Volatility Index is up 23.75 percent to 17.35 in midday trading, just off its intraday peak and its highest level since Feb. 11.

VIX

DRJ: Keep a close eye on volatility

June 29, 2015

As the Greek crisis intensifies, we are likely to see an explosion in volatility as widespread selling in European markets in turn pressures our indexes.

VIX

Video: Heavy July VIX call selling

June 24, 2015

After a steady stream of buying recently, Group One's Jamie Tyrrell says a trader sold 75,000 July 17 calls yesterday, and those levels are holding today.

VIX

Videocast: Cheap VIX call buying

June 23, 2015

With the volatility index down again today, Group One's Jamie Tyrrell says traders are buying July VIX calls but for much lower prices than last week.

VIX

Video: August insurance in VIX

June 22, 2015

After last week's heavy volume paused on Friday, Group One's Jamie Tyrrell says VIX call buying has resumed with traders focused on August.

OptionsHouse

Premium Services

Archived Webinar

Education & Strategy

Real vs. Synthetic

We now know that there are two ways of creating a call position, a put position, and a stock position. We can simply use the actual real security or we can recreate it synthetically. We can create these positions in both long and short forms and this ability sets up an interesting scenario--an arbitrage!

View more education articles »