VIX, futures fall on eve of expiration
Chris McKhann | email@example.com
The CBOE Volatility Index and all the VIX futures closed lower yesterday on the last trading day before September expiration.
The VIX was down 0.41 points, or 2.8 percent, to finish the day at 14.18 as it fell pretty much all afternoon. This came as the S&P 500 climbed into the close but still finished down 1.87 points at 1459.32. The two indexes usually move inversely.
The VIX futures were all lower. The September futures finished the day down 0.75 points, or 5 percent, to 14.25 on their last day of trading before this morning's settlement. The October contracts, which will become the front-month futures after today's open, fell 0.55 points to close at 16.30.
The VIX options traded more than 537,000 contracts, with calls just outpacing puts. The iPath S&P 500 VIX Short-Term Futures ETN (VXX) saw 171,000 options change hands, 96,000 of which were calls.
Videocast: Traders shift as VIX drops
May 17, 2013
As the volatility index falls with today's rally, GroupOne's Jamie Tyrrell says traders are no longer looking for crash protection in May contracts and are buying June VIX calls instead.
Videocast: View of VIX before settlement
May 16, 2013
GroupOne's Dominic Salvino, filling in for Jamie Tyrrell, says VIX traders are targeting the 13 or 14 level ahead of May settlement next week.
VIX rises even as SPX breaks record
May 16, 2013
Equities posted more gains yesterday, while the CBOE Volatility Index bucked its usually inverse relationship with the S&P 500 and rose along with stocks.
Videocast: Low premiums in volatility
May 15, 2013
GroupOne's Jamie Tyrrell says VIX premiums are surprisingly low, indicating that traders are not expecting much of a move before next week's May settlement.