Options Trading News

The CBOE Volatility Index popped yesterday after relatively muted reaction in the VIX futures as the S&P 500 sold off.

The VIX finished at 20.38, up 2.27 points, or 12.5 percent. The S&P 500 fell 21.3 points to 1313.72. The two indexes typically move inversely.

The July VIX futures were up 0.60 points, or 2.75 percent, to close at 22.45. The August futures were up only 0.30 points to finish at 24.20.

Part of the odd differential between the volatility index and its futures has to do with the weekend effect, as the VIX is usually relatively strong on Mondays as the SPX options are repriced after the weekend time day.

The other issue is that the VIX futures outperformed last week, in some ways anticipating this selloff. They continue to carry heavy premiums to the VIX, which is a bit unusual given the heavy selloffs on two of the last three days.

More unusual action was seen in the VIX exchange-traded funds and notes. The iPath S&P 500 VIX Short-Term Futures ETN (VXX), which comprises the two nearest-month futures, was up 7.5 percent at the end of the day. I am not sure why it so significantly outperformed the underlying futures.

The ProShares Ultra VIX Short-Term Futures ETF (UVXY) was up 16 percent, which is expected. But the VelocityShares Daily 2x VIX Short-Term ETN (TVIX), which should match the UVXY, was up only 6.7 percent.

The VIX options traded 261,000 contracts, with 142,000 calls. The VXX options traded 179,000 times, with 98,000 calls.