VIX hits 14, it’s lowest levels since March, even as the S&P 500 dips 5.91 to 1399.96. The volatility index is down .74 to 14.0 on the day and has lost 26 percent month-to-date. The decline in the market’s “fear gauge” comes amid relatively light volumes in the SPX pit. 181,000 calls and 221,000 puts traded on the S&P 500 so far today. Several days of rangebound trading and an absense of any real market-moving headlines are possibly keepiing volumes low in the index market. For whatever reason, VIX is straying from its normal pattern Monday — and moving to multi-month lows, even as SPX dips back below 1,400. Some players seem to view the weakness in the volatility index as an opportunity. The largest trades in VIX today are part of an Oct 20 – 30 call spread for $1.94, 19000X. Separately, an Oct 23 – 32.5 call spread trades on VIX for $1.29, 11250X. The OTM call spreads might be designed to hedge tail risk into the historically volatile months of Sept and Oct. 319,000 calls and 135,000 puts traded in the VIX pit — and so, interestingly, there is more options activity in VIX (a contract based on the implied vols of the S&P 500) then in the SPX index itself.
Category: All Indexes
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.