Even as the VIX rises, its futures fall

optionMONSTER

The CBOE Volatility Index rose yesterday, but the VIX futures all dropped.

The volatility index finished the day up 0.08 points to 14.59. It was higher in the morning as it got close to 15 and again heading into the bell. The S&P 500 finished just off its session lows, down 4.58 points to 1461.19.

The gain in the spot VIX was attributable mostly to the fact that it was a Monday and the SPX options were repriced after the weekend time decay. The two indexes usually move inversely.

The VIX futures were all down significantly. The September futures were down 0.80 points, or 5 percent, to their session low of 14.95. The October futures lost 0.50 points to 16.85.

Interestingly, the iPath S&P 500 VIX Short-Term Futures ETN (VXX) and other VIX-based exchange-traded products were higher going into the last 30 minutes. The VXX was up at $9.30 but closed at $9.07, down 0.11 points, or 1.2 percent on the day.

The VIX option volume picked up late in the day but remained below the average of the last couple of weeks. A little more than 324,000 contracts changed hands, with puts just outpacing calls. The VXX options turned over 163,000 times, with 95,000 calls.

More From optionMONSTER

View Comments