VIX Spikes on Cliff Concerns

| December 27, 2012 | 0 Comments More

CBOE Volatility Index (.VIX) has recaptured the 20 level on “cliff” concerns. The S&P 500 Index (.SPX) wavered at the open and then came under fire 25 minutes ago after Senator Harry Reid warned that there isn’t enough time to avoid going over the fiscal cliff. The S&P is down for a fourth day and VIX, which tracks the expected volatility priced into a strip of SPX options, is up 1 point to 20.48 — its best levels since late-July. The index is now at more than double 30-day SPX actual volatility (9.6 percent). Meanwhile, trading is relatively active in the VIX pit this morning. 89,000 calls and 91,000 puts so far. SPX volume remains very lackluster, however, with only 38,000 calls and 78,000 puts traded on the index. Still, with VIX at more than double actualized SPX volatility, its recent spike seems to suggest that market participants are bracing for a rather significant uptick in market volatility in early-2013.

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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.