VIX futures outpace index to upside
Chris McKhann | email@example.com
The VIX gained 0.82 or 5.3 percent on the day to finish the week at 16.27 as the S&P 500 gave up 1 percent to close out at 1362.66. The SPX was just off it session low, which came in the final minutes of trading. The two indexes typically move inversely.
The VIX hit a high of 17.05 at lunchtime but slipped through the afternoon. Part of the issue in the VIX was the weekend time decay getting taken out of the SPX options on which the volatility index is based.
The August VIX options gained more than the spot index to finish at 19.10, up 0.9 points, or 4.95 percent. The September futures were up 0.75 points, or 2.7 percent, to 20.9.
The VIX options traded 333,000 contracts, 267,000 of which were calls. In a rare but more frequent occurrence of late, the iPath S&P 500 VIX Short-Term Futures ETN (VXX) saw option volume that outpaced the VIX's. More than 386,000 VXX options traded, which may be a new record, with puts slightly outnumbering calls.