Volatility index surges into settlement
Chris McKhann | email@example.com
The April VIX settlement came in today at 15.46, well above yesterday's close and right in the middle of this morning's range.
The volatility index finished trading yesterday at 13.95, so those who were long VIX futures or calls got a nice surprise.
The spot VIX is now up 1.60 points, or 11.7 percent, to 15.59. The pop has it back above the now-front-month May VIX futures, which are up 0.60 points to 15.35. The June futures are up 0.35 points to 16.05. This has the iPath S&P 500 VIX Short-Term Futures Note (VXX) up 5.45 percent to 19.92.
Video: Whipsaw moves in the VIX
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Group One's Mike Palmer explains why the volatililty index saw broad swings right before and after the weekend. Traders are now focused on today's close.
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Group One's Jamie Tyrrell says traders are buying next month's calls on the volatility index, bracing against a pullback in the S&P 500.
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Group One's Jamie Tyrrell says large electronic buy programs are snapping up crash protection in the volatility index.
Videocast: VIX premiums down before expiry
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Group One's Jamie Tyrrell says premium is getting sucked out of on volatility index calls on their last full day of trading.
Videocast: The VIX at crossroads
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The volatility index has seen broad swings with the market today, and Group One's Jamie Tyrrell says traders think that the VIX can go either way from here.