Volatility index options hit record high
Chris McKhann | email@example.com
The CBOE Volatility Index closed at its session high just barely in positive territory yesterday as the VIX options had a record day.
The VIX finished at 16.41, up 0.13 points, or 0.8 percent. This came as the S&P 500 gained 4.48 points to 1433.56, essentially in the middle of the day's range.
The VIX futures were mixed. The September futures were higher, up 0.05 points to 16.55, just off the session high after trading lower for most of the day, and the October contracts fell 0.25 points to 18.30. The November futures were down 0.50 points, or 2.45 percent, to 19.90.
This had the iPath S&P 500 VIX Short-Term Futures ETN (VXX) and the VelocityShares Daily 2X VIX Short-Term Note (TVIX) lower on the day.
The VIX options traded 1.2 million contracts, an all-time record high, with 827,00 calls outpacing puts. The volume has been high over the last few sessions, suggesting that traders are looking to hedge a potential spike in volatility in coming weeks.
Video: VIX pits shift to November
October 13, 2015
With the October settlement next week, Group One's Jamie Tyrrell says VIX traders are moving ahead by selling November 15 puts and buying a November 22/28 call spread.
Video: Buying cheap calls in the VIX
October 12, 2015
As the spot volatility index drops below 17, Group One's Jamie Tyrrell says traders are buying 70,000 VIX November 30 calls for $0.50.
Video: Traders targeting higher VIX
October 9, 2015
The volatility index is little-changed today, but Group One's Jamie Tyrrell says some big trades are still looking for a higher VIX in October.
Video: VIX October 22 calls bought
October 8, 2015
The VIX Weeklies began trading today, but Group One's Jamie Tyrrell says the big trade is in standard options with a purchase of 45,000 VIX October 22 calls.
Videocast: VIX call buyers return
October 7, 2015
Group One's Jamie Tyrrell says traders were selling VIX calls early in the day but reversed course as the market rally fizzled.