VIX swings with SPX before closing lower
Chris McKhann | firstname.lastname@example.org
The CBOE Volatility Index was up yesterday morning but finished the day lower.
The VIX ended the day at 18.94, down 0.22 points, or 1.15 percent. It climbed near the 20 level early but fell as low as 18.42 at one point in the session.
This corresponded to action in the S&P 500 as it fell to 1364, climbed just short of 1374, and slipped into the close to finish at 1369.58. The two indexes typically move inversely.
The VIX futures were down even more than the volatility index itself. This is not surprising at the end of the day because the spot VIX is usually relatively high on Mondays, after the weekend time decay. The May futures were down 3.25 percent to 19.3, while the June contracts fell 2.8 percent to 20.85.
The VIX options traded 314,000 contracts, with calls outpacing puts by 4 to 1. More than 123,000 options traded in the iPath S&P 500 VIX Short-Term Futures ETN (VXX) as calls and puts were split evenly.
Videocast: Traders shift as VIX drops
May 17, 2013
As the volatility index falls with today's rally, GroupOne's Jamie Tyrrell says traders are no longer looking for crash protection in May contracts and are buying June VIX calls instead.
Videocast: View of VIX before settlement
May 16, 2013
GroupOne's Dominic Salvino, filling in for Jamie Tyrrell, says VIX traders are targeting the 13 or 14 level ahead of May settlement next week.
VIX rises even as SPX breaks record
May 16, 2013
Equities posted more gains yesterday, while the CBOE Volatility Index bucked its usually inverse relationship with the S&P 500 and rose along with stocks.
Videocast: Low premiums in volatility
May 15, 2013
GroupOne's Jamie Tyrrell says VIX premiums are surprisingly low, indicating that traders are not expecting much of a move before next week's May settlement.