Volatility index, VIX futures fall sharply
Chris McKhann | firstname.lastname@example.org
The CBOE Volatility Index tumbled as the market surged on Friday.
The VIX fell 1.93 points, or 11 percent, to finish the week at 15.64. The index closed lower on only one other occasion since March, on July 19.
The VIX futures also fell sharply. The August futures were down 1.55 points, or 8.3 percent, to close at 17.15. The September futures shed 1.3 points to 19.40.
More than 580,000 VIX options traded, led by 302,000 calls. The S&P 500 Index options traded 569,000 contracts, with 316,000 puts.
Despite the fact that the VIX has fallen, actual volatility has picked up, as the 10 day historical volatility for the SPX has moved up 2 points from a week ago.
Another record close for stock indexes
May 20, 2013
Stocks continued to melt higher on Friday, with the Nasdaq 100 as the only major equity index not in record territory. The CBOE Volatility Index was down 4.74 percent to 12.45.
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.