Volatility index, VIX futures fall sharply
Chris McKhann | firstname.lastname@example.org
The CBOE Volatility Index tumbled yesterday as the equity indexes were mixed but essentially unchanged.
The S&P 500 finished the session up a scant 0.18 points to 1380.03. Support and resistance remain unchanged at 1365 and 1433 respectively.
The Nasdaq 100 was down 1.33 points to 2582.77. It has support at 2550 and resistance at 2651.
The Russell 2000 had the biggest move, losing 1.26 points to close at 793.76. Support and resistance are still 775 and 825.
The VIX retreated by 1.93 points, or 10.4 percent, to 16.68. The index fell sharply in part because the November SPX options were dropped from the calculation, leaving the December options and their lower implied volatilities.
The VIX futures did follow the index lower, however, so the drop in volatility was real. The November futures were down 1.55 points to 17.05, and the December futures fell 1.30 points to 18.30.
More than 684,000 SPX options traded, 432,000 of which were puts. The VIX options turned over 490,000 times, with 296,000 calls. The VVIX Index, which measures the implied volatility of the VIX options, was down 3.7 percent to 90.54.
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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.
Videocast: Futures see higher VIX
February 26, 2015
Although the spot volatility index remains below 14, Group One's Dominic Savino says the March VIX futures are targeting the 16 level.