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

Videocast: VIX not showing panic

March 26, 2015

Despite the market's downturn this week, Group One's Jamie Tyrrell says traders apparently do not believe that the VIX will hit the 20 level.

VIX

Videocast: April, August VIX calls

March 25, 2015

As the market selloff accelerates midday, Group One's Mike Palmer says traders are buying protection through VIX calls in April and August.

VIX

Videocast: Looking for higher volatility

March 24, 2015

Group One's Jamie Tyrrell says investors are buying upside calls in the VIX and selling puts, looking for the volatility index to push higher.

VIX

Videocast: Buying April VIX calls

March 19, 2015

As the market pulls back from yesterday's rally, Group One's Jamie Tyrrell says traders are buying VIX April 22, 26, and 27 calls.

VIX

Videocast: VIX settlement at 15.67

March 18, 2015

Group One's Jamie Tyrrell says traders are buying VIX April 22 and 26 calls for protection after a quiet March expiration.

OptionsHouse

TRADING WEEKLY OPTIONS

The fastest money in the market
View full report »

Premium Services

Archived Webinar

Education & Strategy

Short Gamma

Last week, we talked about long Gamma. We said that long gamma is acquired by purchasing options and when you...

View more education articles »