CBOE Volatility Index (.VIX) hit a morning high of 21.98, but then came under fire and is now trading at its lowest levels since May 11. The “fear gauge” fell below the 20 psyche level in early trading and is down 1.67 to 19.44 in midday action. Trading in the VIX pit is active heading into expiration, with 181,000 calls and 275,000 puts so far. 60 percent of the volume, or more than 240,000 contracts, is in the June contracts that, after today, have one day of life remaining. About 2.6 milllion contracts of open interest, which is about 35 percent of the total OI, is in the June term. The largest positions (in the front-month) are Jun 30 calls, Jun 19 puts, June 20 puts, and Jun 40 calls and today’s most actives are Jun 20 and 21 puts. The official settlement value in May was 21.46. The expiration is not the only factor affecting VIX today, however. Important event risk has passed after the pro-bailout New Democracy Party won elections in Greece. Investors are also hopeful that Fed Officials will signal Operation Twist again at the conclusion of its two-day meeting Wednesday afternoon. The S&P 500 is down just .4 points to 1,342.44.
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.