The CBOE Volatility Index posted its lowest close since April yesterday, driving VIX-based exchange-traded funds to fresh lows.
The VIX finished the day at 16.48, down 0.63 points, or 3.7 percent even after climbing for most of the afternoon. The S&P 500 initially dipped during Fed Chairman Ben Bernanke's appearance in Congress and then rallied to close at 1363.67, up more than 10 points. The two indexes usually move inversely.
The VIX futures followed the volatility index lower. The July futures finished trading yesterday, ending the session down 0.65 points to 16.65 ahead of tomorrow morning's settlement.
The now-front-month August contracts fell 0.80 points to 18.50, and the September futures were down 0.90 to 20.40. The short-term VIX-based funds and notes, like the iPath S&P 500 VIX Short-Term Futures ETN (VXX), are based on those futures and have a daily roll. Those funds hit all-time lows and will likely all face reverse splits in the very near future.
More than 605,000 VIX options traded, leaving them third on the total volume list behind the SPY and SPX, with calls outpacing puts by more than 2 to 1. The VXX options traded 246,000 contracts, split evenly between calls and puts.
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