The CBOE Volatility Index collapsed into yesterday's close even as the S&P 500 finished lower, departing from their traditionally inverse relationship for the second straight session.
The VIX fell 1.14 points, or 6.2 percent, to finished the day at 17.24, its lowest close since May 2. It came as the S&P 500 closed in the middle of the session's range, down 2.29 points to 1355.69.
The VIX futures followed the spot volatility index lower. The June futures settled yesterday morning at 17.78, under the lowest VIX level of the morning. The now-front-month July futures fell even more than the spot VIX, giving up 1.4 points, or 6.4 percent, to close at 20.50. The August contracts also dropped 1.15 points to close at 22.65, and the September futures finished at 24.40, showing that contango continues.
More than 453,000 VIX options changed hands. Almost all of that action was in the July options, and 350,000 were calls. The iPath S&P 500 VIX Short-Term Futures ETN (VXX) saw 203,000 options trade, 115,000 of which are calls.
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