The CBOE Volatility Index closed Friday just off its session high as the market gave up ground.
The VIX finished rose 0.89 points, or 6 percent, to 15.73 while the S&P 500 fell 6.5 points to 1440.67, in the middle of the afternoon's range. The VIX was quite strong given that it is usually weaker on Fridays because of the pricing of the weekend time decay into the SPX options, on which the index is based.
The October and November VIX futures each rose 0.30 points, closing at 16.40 and 18.05 respectively. So the gap between the front-month futures and the spot VIX is quite small, especially considering how far we are from settlement.
The VIX options traded 528,000 contracts, with 417,000 calls. The iPath S&P 500 VIX Short-Term Futures ETN (VXX) saw more than 227,000 options change hands, with 130,000 calls.
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