Volatility closed strong yesterday as weakness in the S&P 500 drove up demand for protection.
The VIX was up all day, but soared into the close, finishing up 1.17, or 7.7 percent, to 16.35,. That was the highest close since it gapped down on Aug. 3. Stocks were positive most of the day, but SPX slid into the bell and closed down almost 1 point to 1410.
VIX futures ended the session mixed. The September contracts advanced were up 0.3 or 1.6 percent to 18.85, while October futures inched higher by 0.05 to 21.25. November VIX declined 0.05 to 22.9. Actual volatility for the SPX remains muted, with the index moving at an annualized pace of less than 7 percent in the last two weeks.
Total options volume was extremely light, with less than 8.7 million contracts trading across all markets. The VIX options traded just less than 200,000 with calls outpacing puts by 2 to 1. The VXX options traded 111,000, 70,000 of which were calls.
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