Volatility index, VIX futures fall sharply
Chris McKhann | [email protected]
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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