CBOE Volatility Index (.VIX) $18.30 -3.48%

| August 2, 2012 | 0 Comments More

CBOE Volatility Index (.VIX) is off 1.07 to 17.89 even as the S&P 500 loses 2.50 points to 1372.82. VIX, which typically edges higher when the S&P 500 heads lower, is straying from its typical pattern now that Central Bank meetings have concluded and this important event risk has passed. Mixed trading might be a factor as well. Today marks the third time this week that major averages have been mixed at midday. Yesterday, the Dow was higher at mid-session, but the NASDAQ was lower. The opposite was the case Tuesday. Today, the NAZ is again outperforming. Mixed trading tends to lessen overall volatility for the S&P 500, where 30-day statistical volatility is now 14.1 percent. Consequently, VIX is lower even as jobs data loom and Knight is reeling from the big losses suffered from yesterday’s errant trade.

Yet, not everyone seems to think the low volatility will last in the weeks ahead. A Sep 32.5 – 35 call spread on VIX was bought today for 92.5 cents, 5000X. More than 10,000 traded in both contracts. Aug 15 puts are the most actives in the product after a morning seller wrote 20,000 contracts at 7.5 cents per contract. Overall volumes in the VIX pits have been light this week despite the macro-risk. 75,000 calls and 34,000 puts traded on the product so far today.

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Category: All Indexes

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About the Author (Author Profile)

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.