CBOE Volatility Index (.VIX) $13.83 -2.47%

| September 19, 2012 | 0 Comments More

CBOE Volatility Index is down .38 to 13.80 and trading in the VIX pit is active as players roll positions to October. The Sept settlement of 14.03 is down from 15.13 in August and is the lowest since June 2007, according to historical data from CBOE. At 14.03, less than 20,000 contracts of open interest in the Sept calls on the index are in-the-money, which is under 1 percent of the total open interest in VIX September call options (2.07 milllion). About 100,500 Sept puts are out-of-the-money and 15 percent of the total OI. Now, focus shifts away from September and to the historically volatile month of October. Of the roughly half million VIX options traded today, 61 percent are in the October term — led by upside 20 and 24 calls. 398,000 calls and 112,000 puts traded on the index so far.

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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.