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.
Videocast: Volatility in September?
August 20, 2015
Group One's Jamie Tyrrell says traders are buying next month's calls on the volatility index, bracing against a pullback in the S&P 500.
Videocast: VIX draws September buyers
August 19, 2015
Group One's Jamie Tyrrell says large electronic buy programs are snapping up crash protection in the volatility index.
Videocast: VIX premiums down before expiry
August 18, 2015
Group One's Jamie Tyrrell says premium is getting sucked out of on volatility index calls on their last full day of trading.
Videocast: The VIX at crossroads
August 7, 2015
The volatility index has seen broad swings with the market today, and Group One's Jamie Tyrrell says traders think that the VIX can go either way from here.
Video: Put buyer bucks pop in VIX
August 6, 2015
Volatility is jumping with today's market declines, but Group One's Jamie Tyrrell says a large player continues to bet that the VIX will fall below 12.