OptionsHouse

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

VIX at highest level in 4 months

June 29, 2015

The CBOE Volatility Index is up 23.75 percent to 17.35 in midday trading, just off its intraday peak and its highest level since Feb. 11.

VIX

DRJ: Keep a close eye on volatility

June 29, 2015

As the Greek crisis intensifies, we are likely to see an explosion in volatility as widespread selling in European markets in turn pressures our indexes.

VIX

Video: Heavy July VIX call selling

June 24, 2015

After a steady stream of buying recently, Group One's Jamie Tyrrell says a trader sold 75,000 July 17 calls yesterday, and those levels are holding today.

VIX

Videocast: Cheap VIX call buying

June 23, 2015

With the volatility index down again today, Group One's Jamie Tyrrell says traders are buying July VIX calls but for much lower prices than last week.

VIX

Video: August insurance in VIX

June 22, 2015

After last week's heavy volume paused on Friday, Group One's Jamie Tyrrell says VIX call buying has resumed with traders focused on August.

OptionsHouse

TRADING WEEKLY OPTIONS

The fastest money in the market
View full report »

Premium Services

Archived Webinar

Education & Strategy

Real vs. Synthetic

We now know that there are two ways of creating a call position, a put position, and a stock position. We can simply use the actual real security or we can recreate it synthetically. We can create these positions in both long and short forms and this ability sets up an interesting scenario--an arbitrage!

View more education articles »