Volatility index, VIX futures up slightly
Chris McKhann | email@example.com
The CBOE Volatility Index closed slightly higher yesterday as the S&P 500 climbed at the end of the session to finish only fractionally lower.
The VIX ended the day up 0.19 points, or 1.4 percent, to 14.07 after climbing to 14.68 at the open and then sliding to its lowest level of the session right at the close. This came as the SPX recouped intraday losses and finished the session off less than 1 point at 1460.26. The two indexes usually move inversely.
The VIX futures were higher as well, outpacing the spot index. The October and November futures were both up 0.30 points, to 16.35 and 18 respectively. The iPath S&P 500 VIX Short-Term Futures ETN (VXX) and the ProShares Trust Ultra VIX Short Fund (UVXY), which comprise those two front-month futures, posted new all-time lows yet again.
The VIX options traded 522,000 contracts, led by 395,000 calls. The VXX options changed hands about 256,000 times, with 160,000 calls. The VVIX Index, which measures the implied volatility of the VIX options, held just below 89.
Videocast: Big April VIX call buying
March 27, 2015
GroupOne's Jamie Tyrrell says a major player bought 150,000 April 20 calls late yesterday even as VIX futures fell.
Videocast: VIX not showing panic
March 26, 2015
Despite the market's downturn this week, Group One's Jamie Tyrrell says traders apparently do not believe that the VIX will hit the 20 level.
Videocast: April, August VIX calls
March 25, 2015
As the market selloff accelerates midday, Group One's Mike Palmer says traders are buying protection through VIX calls in April and August.
Videocast: Looking for higher volatility
March 24, 2015
Group One's Jamie Tyrrell says investors are buying upside calls in the VIX and selling puts, looking for the volatility index to push higher.
Videocast: Buying April VIX calls
March 19, 2015
As the market pulls back from yesterday's rally, Group One's Jamie Tyrrell says traders are buying VIX April 22, 26, and 27 calls.