CBOE Volatility Index (.VIX) is up .43 to 22.97, even as the S&P 500 adds 2.7 points Thursday. Market action has been choppy today and, while the S&P has traded in a 15.7 point range, VIX hit a high of 24.28 and a low of 22.58. VIX is perhaps edging up ahead of event risk later this week including GDP, jobless claims, PMI Thursday and personal income/spending, UofMich Sentiment, construction spending, ISM, and auto/truck sales Friday. Meanwhile, noteworthy recent trades in the VIX Tuesday afternoon include Jan 22.5 – 27.5 (2X1) put ratio spread at 1.30, 15000X and Dec 22.5 – Dec 27.5 (2X1) put ratio spread at 1.45, 17000X. The spreads look like bets that VIX will hold around these levels, or fall to 22.5, through the end of this year and into early 2011. VIX December futures are currently at 28.25. January is 30.
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.