Learn the trade here. Make it on tradeMONSTER

Options Trading News

August 23, 2012  Thu 2:27 AM CT

VIX: SEE CHART GET CHAIN FIND STRATEGIES

The VIX and the S&P 500 both inched higher yesterday as realized volatility remains extremely low.

The volatility index, which measures option premiums on the SPX, ended the day at 15.11. At one point early in the session it fell below 15, but then pressed higher as equities retreated. The SPX was negative for most of the day, only to finish up 0.32 points to 1413.49. Based on trading in the last 10 days, the market has been moving less than 4 percent on an annualized basis.

August futures on the VIX settled at 15.13. The new front month September contracts inched higher by 1.6 percent to 19.05. This is a bit of a surprise given the already large premium in those futures. The October futures gained even more, up 0.35 to 21.2.

It's important to remember that VIX options at each month price off their respective futures contracts. Short-term exchange-traded products, like the VXX and TVIX, are based on those futures. A big increase in volatility is already priced in, so those contracts and ETPs will lose value if it doesn't occur.

VIX futures have been active, successively establishing new open interest records over the last four days. The options have also been active. More than 660,000 traded on Wednesday, 403,000 of which were calls. The VXX options traded 144,000 contracts, with 81,000 calls.

Share this article with your friends


Related Stories

VIX

Videocast: Cheap VIX protection

September 2, 2014

As the volatility index continues to stay in the low teens, Group One's Jamie Tyrrell explains how traders are buying protection through the VIX in three ways.

VIX

VIX slips as stocks hit new highs

September 2, 2014

Equity indexes climbed to new highs on Friday to close out another week of gains as the CBOE Volatility Index slipped back below the 12 level.

VIX

Why volatility index isn't 'broken'

September 1, 2014

For months there has been lots of talk about complacency and the "broken" CBOE Volatility Index, but both discussions are misguided.

VIX

Videocast: VIX pits quiet down

August 29, 2014

Despite persistent geopolitical issues, Group One's Jamie Tyrrell says volatility trading is slow ahead of the three-way weekend.

VIX

VIX above 12 as equities rebound

August 29, 2014

Equity indexes finished yesterday lower but regained much of the ground lost early in the session. The CBOE Volatility Index rose back above the 12 level but was well off its high of the day.

TRADING WEEKLY OPTIONS

The fastest money in the market
View full report »

Premium Services

Education & Strategy

How to get the hedge you want

Hedging is a good idea. As I have said countless times, you insure your house and your car, but most...

View more education articles »
optionMONSTER stockMONSTER tradeMONSTER