Volatility index, VIX futures all plunge
Chris McKhann | firstname.lastname@example.org
The CBOE Volatility Index closed at 14.05, just above yesterday's intraday low.
That left the VIX down 1.75, or 11 percent after dipping below 14 twice in the final 90 minutes of trade. This came as the S&P 500 closed at 1459.99, up 23.43 points, or 1.63 percent.
The volatility index remains above last month's lows, while the SPX is the highest since January of 2008. The two indexes usually move inversely.
The VIX futures were all down. The September contracts lost 0.95 points, or 6 percent, to close at 14.85. The October futures fell even more, down 1.20 points to 16.40.
The VIX option volume was strong once again at 669,000, with 382,000 calls. The iPath S&P 500 VIX Short-Term Futures ETN (VXX) saw 428,000 options change hands, with 270,000 calls. The VVIX Index, which measures the implied volatility of the VIX options, was down 6.5 percent to 87.81 but well above last week's lows.
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.