VIX settlement higher than expected
Chris McKhann | [email protected]
The settlement for the December VIX futures and options came in unexpectedly high this morning at 16.69.
The volatility index is at 16.58, up 6.4 percent on the day, which is highly unusual because the S&P 500 opened unchanged and is now down only 2 points. The VIX and the SPX typically move in opposite proportions.
The January futures, now the front-month contracts, are up 0.25 points to 16.40 and are immediately below the spot VIX. The February futures are up by the same amount to 17.35.
The December futures finished trading yesterday at 15.55, so it had a curiously big lift to settlement this morning with no action in the SPX. And the SPX options volume is light so far at just 185,000.
Remember that the futures settlement is based on trade prices of the SPX options this morning as opposed to the spot VIX, which is derived from the midpoint of the bid/ask spread.
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