Volatility index up but its futures fall
Chris McKhann | firstname.lastname@example.org
The CBOE Volatility Index rose into yesterday's close, moving back into positive territory even as the VIX futures fell.
The volatility index finished at 14.15, up 0.17 points. It started the day above 15 and fell below 14 before rebounding. The S&P 500 entered the final hour positive but ended down 3.26 points at 1456.89. The two indexes usually move inversely.
The October VIX futures were down 0.15 points to close at 15.90, and the November futures fell 0.35 points to 17.55. The drop in these VIX futures pushed the iPath S&P 500 VIX Short-Term Futures ETN (VXX), the VelocityShares Daily 2X VIX Short-Term Note (TVIX), and the ProShares Trust Ultra VIX Short Fund (UVXY) all to new lows.
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Group One's Jamie Tyrrell says a major player bought the VIX August 16/18 call spread 300,000 times yesterday and sold August 12.50 puts to help finance the trade.
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The volatility index is little-changed even with the market lower today, but Group One's Jamie Tyrrell says one September three-way strategy is looking for a spike higher.
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Videocast: VIX put selling pays off
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The VIX is little-changed today, and Group One's Jamie Tyrrell explains how recent put selling has paid off for volatilty traders.
Video: Case study in VIX pullback
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Group One's Jamie Tyrrell says the volatility index's move down in the last week illustrates just how quicly the VIX can fall as well as rise.