Volatility index options hit record high
Chris McKhann | firstname.lastname@example.org
The CBOE Volatility Index closed at its session high just barely in positive territory yesterday as the VIX options had a record day.
The VIX finished at 16.41, up 0.13 points, or 0.8 percent. This came as the S&P 500 gained 4.48 points to 1433.56, essentially in the middle of the day's range.
The VIX futures were mixed. The September futures were higher, up 0.05 points to 16.55, just off the session high after trading lower for most of the day, and the October contracts fell 0.25 points to 18.30. The November futures were down 0.50 points, or 2.45 percent, to 19.90.
This had the iPath S&P 500 VIX Short-Term Futures ETN (VXX) and the VelocityShares Daily 2X VIX Short-Term Note (TVIX) lower on the day.
The VIX options traded 1.2 million contracts, an all-time record high, with 827,00 calls outpacing puts. The volume has been high over the last few sessions, suggesting that traders are looking to hedge a potential spike in volatility in coming weeks.
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.