The CBOE Volatility Index ended yesterday higher, but the VIX futures were all lower.
The VIX was up 2.2 percent to close at 17.11, below the morning high but well above the low. This came as the S&P 500 gave up 3 points to finish at 1353.64, the middle of the day's range. The two indexes are inversely correlated.
Unlike the volatility index itself, the VIX futures were all lower. The July contracts--which have just one day of trading left before their settlement tomorrow morning--were down 0.20 points, or 1.15 percent, to 17.25. The August futures were down 0.10 to 19.25, and the September contracts were down 0.20 to 21.25.
The 10-day historical volatility for the SPX was 17.4 percent coming into the session, but that falls all the way down to 12 percent as the rally on June 29 is dropped out of the calculation.
The VIX option volume was just over 272,000 contracts, with 173,000 calls. The iPath S&P 500 VIX Short-Term Futures ETN (VXX) saw 175,000 options change hands, with puts slightly outpacing calls.
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