Volatility index options hit record high
Chris McKhann | firstname.lastname@example.org
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.
Videocast: Rolling VIX protection
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Group One's Jamie Tyrrell says the big volatility trade of the day is selling April VIX contracts to buy protection in May and June.
Videocast: VIX traders look to June
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Group One's Jamie Tyrrell says near-term VIX call buying has declined as traders are move to contracts in later months.
Videocast: Near-term pop in VIX?
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Group One's Jamie Tyrrell says today's action in the VIX pits indicates that traders are positioning for volatility to rise in the near term.
Videocast: Traders see floor in VIX
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Group One's Jamie Tyrrell says traders are selling March VIX puts, apparently believing that further downside potential in the volatility index is limited.
Videocast: VIX 'cash spread' hedge
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Group One's Mike Palmer explains the strategy behind a VIX "cash spread" as traders cover positions going into the weekend.