Options Trading News

March 22, 2013  Fri 1:16 AM CT

Equity indexes closed lower yesterday, driving the CBOE Volatility Index up by more than 10 percent.

The S&P 500 was down almost 13 points to finish the session at 1545.80. It was lower all day and closed just above the intraday low reached with about two hours left to trade. Resistance is now at 1564, and support is at 1530.

The Nasdaq 100 was the biggest loser, giving up more than 31 points to 2774.85. That 1.1 percent drop brought the index to its lowest close since March 4. It has resistance at 2812 and some support at 2760.

The Russell 2000 was down 8.03 points to 943.92. The small-cap index remains above Tuesday's close. Resistance is at 954, while support remains at 930.

The VIX rose 1.32 points, or 10.4 percent, to 13.99. It reached a session high of 14.20 briefly during the worst of the S&P 500's selloff.

The April VIX futures gained only 0.40 points to end the day at 14.90, and the May futures were up 0.10 points to 16.05. This boosted the iPath S&P 500 VIX Short-Term Futures Note (VXX) by 2.64 percent to 20.98.

The VIX options were second in overall volume with 775,000 contracts. Calls outpaced puts by almost 4 to 1, again exceeding the average by a large margin. The VVIX Index, which measures the implied volatility of the VIX options, was up 5 percent to 93.98.
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As we continue to discuss the Greeks, we come to the first of the strike based Greeks called Gamma. Gamma is known as the second derivative, while delta is the first.

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