Unusual moves in the VIX and its futures
Chris McKhann | [email protected]
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.
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