CBOE Volatility Index (.VIX) is off .81 to 14.79 and now well below the Tuesday morning highs of 18.96. The volatility index has lost more than four points, or 22 percent, from the highs seen early this week, as the S&P 500 traded quietly Tuesday and Wednesday before rallying to multi-year highs yesterday. While the Dow and NASDAQ are under water Friday, the SPX is building on yesterday’s gain and is up another 3 points. VIX, which tracks the expected volatility priced into SPX options, is down and trading is active in VIX pit. The projected volume is more than 1 million contracts, as 386,000 calls and 211,000 puts traded in the index through midday. One or more investors seem to be anticipating a possible jump in volatility heading into the historically volatile period of early October, however, as VIX Oct 30 – 32.5 call spreads have traded multiple times today, including 15000 for a dime. More than 55000 now traded in both contracts.
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.