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: Betting on lower volatility

July 22, 2014

As the market rallies today, Group One's Mike Palmer says traders are betting that the recent pops in volatility will be short-lived.

VIX

Videocast: No panic in the VIX pits

July 21, 2014

Group One's Jamie Tyrrell says today's volatility is relatively muted even after the morning downturn, though traders are buying August and October call spreads.

VIX

VIX drops as equities bounce back

July 21, 2014

Equity indexes rebounded sharply at the end of last week, making up most of Thursday's steep losses and pushing the CBOE Volatility Index back down to the 12 level.

VIX

Videocast: Volatility plunges on rally

July 18, 2014

After VIX trading "approached panic levels" yesterday, Group One's Jamie Tyrrell says volatility is "getting annihilated" across the board with today's market rebound.

VIX

VIX up 32 percent as equities fall

July 18, 2014

The CBOE Volatility Index surged more than 30 percent as equity indexes fell sharply on news events in Ukraine and the Mideast.

Premium Services

Free Webinars

Education & Strategy

How to navigate earnings season

We are embarking on one of the most frustrating times for new option traders: earnings season.Many new traders buy options,...

View more education articles »
optionMONSTER stockMONSTER tradeMONSTER