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: June VIX calls bought again
May 27, 2015
Even though the market has reversed course with today's rally, Group One's Jamie Tyrrell says traders are buying VIX June 18 calls for the second session in a row.
Video: Volatility measures jump
May 26, 2015
Group One's Jamie Tyrell says traders are buying June and July VIX calls with the spot index up 15 percent and the nine-day CBOE Short-Term Volatility Index (VXST) spiking 40 percent.
Video: Huge June VIX call buy
May 22, 2015
Group One's Jamie Tyrrell says one large player purchased 140,000 July 18 calls in the VIX, adding to heavy upside buying earlier in the week.
Video: Heavy June VIX call action
May 21, 2015
A day after the May VIX contracts settled at 12.80, Group One's Jamie Tyrrell says 250,000 June calls changed hands.
Video: VIX June 17-18 call action
May 20, 2015
Following this morning's May contract settlement, Group One's Dominic Savino says traders are now targeting the VIX June 17 and 18 calls.