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.
VIX drops again as equities rally
October 21, 2014
All of the major equity indexes were higher yesterday, driving the CBOE Volatility Index lower by more than 15 percent.
Videocast: Volatility quieting down
October 20, 2014
As stocks drift higher after last week's selloff, Group One's Jamie Tyrrell says the big trades today are selling October VIX calls.
VIX falls as equities close mixed
October 20, 2014
Equity indexes were mixed on Friday to finish a volatile week, while the CBOE Volatility Index dropped nearly 13 percent.
Videocast: Volatility down big today
October 17, 2014
Group One's Jamie Tyrrell says the volatility index is back down near the 20 level in today's rally, with near-term futures getting "crushed."
Videocast: November VIX calls sold
October 16, 2014
Group One's Jamie Tyrrell says traders are holding onto protection for the next few days but are selling the November VIX calls, apparently believing that volatility levels are too elevated.