The CBOE Volatility Index ended higher yesterday as the S&P 500 slipped back into negative territory.
The VIX was up 0.51 points, or 2.9 percent, to close at 17.98. It climbed as high as 18.96 early as the SPX broke below the 1400 level, trading as low as 1396 before recovering and finishing just under 1405. The two indexes usually move inversely.
The VIX remains at a huge premium to actual volatility. The 20-day historical volatility is now just 6 percent.
The gain in the volatility index was mostly the result of the repricing of SPX options after the long weekend. The VIX is based on those options.
The VIX futures were all lower on the day. The September contracts were down 0.30 points to 18.65, while the October futures gave up 0.50 points to close at 20.7.
The VIX options traded 254,000 contracts, with 147,000 calls. The iPath S&P 500 VIX Short-Term Futures ETN (VXX) saw its options turn over 110,000 times, led by 82,000 calls.
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