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: Near-term VIX calls purchased
February 5, 2016
Group One's Jamie Tyrrell says volatility traders had been looking farther out but are now picking up February 28 calls.
Videocast: Huge VIX call spread sold
February 4, 2016
As the market continues to churn, Group One's Jamie Tyrrell says today's big trade is the sale of a VIX March 30/40 call spread 115,000 times.
Videocast: Big March call spread in VIX
February 3, 2016
As the market pulled back this morning, Group One's Jamie Tyrrell says a major player bought a March 30/40 call spread 150,000 times.
Video: VIX traders buying March calls
February 2, 2016
As volatility rises with today's market decline, Group One's Jamie Tyrrell says traders are purchasing the VIX March 30 and 35 calls.
Video: VIX traders split on next move
February 1, 2016
With the market pausing after last week's rallies, Group One's Jamie Tyrrell says traders are buying both March 15 puts and Weekly 20 calls.