CBOE Volatility Index (.VIX) puts are seeing action. The December 22.5s are the most actives, with 12,100 traded. Another 2,000 of the November 20s have traded. Some traders might be looking for VIX to fall after hitting record highs of 46.72 Monday. VIX is now down 5 to 41.72 after global equity markets stablized Tuesday morning. December futures on the volatility index are down .88 to 27.15 and well below the spot VIX, suggesting the market is pricing in a return to normalcy over the next few months. However, the actual volatility of the S&P 500 (.SPX), as measured by 20-day Statistical Volatility, is near 43 percent. For that reason, it would probably take convincing evidence that actual volatility is easing before the VIX can see a dramatic move lower from here.
Category: All Indexes
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Frederic Ruffy is a well-known trader, writer, and strategist who has spent years educating investors and creating intelligent, insightful, unbiased market observations that are frequently cited by the Wall Street Journal and other financial publications. As senior analyst, Fred provides frequent and regular notes and daily updates for activity of interest.