Unusual moves in the VIX and its futures
Chris McKhann | email@example.com
The CBOE Volatility Index closed higher yesterday, but the VIX futures fell with the S&P 500.
The VIX, which usually moves inversely to the SPX, ended the day just off its session low but was still up 4.4 percent to 18.04. This came with the S&P 500 down 5.3 points to 1364.33.
The March VIX futures were down 1.23 percent to 20.15. April futures were down fractionally to 23.65. The May futures were unchanged, and rest were higher.
So even though the futures closed their gap with the spot VIX reading, the spread between the futures themselves actually widened again.
The VIX-based exchange-traded funds and notes also continue to show oddities. The iPath S&P 500 VIX Short-Term Futures Note (VXX) was lower at the end of the day, giving up 1 percent to 24.04. But the the VelocityShares Daily 2X VIX Short-Term Note (TVIX), which theoretically should give 2 times that return, was up 0.86 percent to 16.36.
Videocast: VIX going to Weeklies
May 28, 2015
Group One's Jamie Tyrrell says new VIX Weekly options will soon replacee available, replacing the nine-day CBOE Short-Term Volatility Index (VXST) contracts.
Video: June VIX calls bought again
May 27, 2015
Even though the market has reversed course with today's rally, Group One's Jamie Tyrrell says traders are buying VIX June 18 calls for the second session in a row.
Video: Volatility measures jump
May 26, 2015
Group One's Jamie Tyrell says traders are buying June and July VIX calls with the spot index up 15 percent and the nine-day CBOE Short-Term Volatility Index (VXST) spiking 40 percent.
Video: Huge June VIX call buy
May 22, 2015
Group One's Jamie Tyrrell says one large player purchased 140,000 July 18 calls in the VIX, adding to heavy upside buying earlier in the week.
Video: Heavy June VIX call action
May 21, 2015
A day after the May VIX contracts settled at 12.80, Group One's Jamie Tyrrell says 250,000 June calls changed hands.