The CBOE Volatility Index finished yesterday at its session high as the S&P 500 slumped into the close.
The VIX was up 2.22 points, or 9.97 percent, at the end of the day at 24.49. That is the highest close since mid-December. The SPX was down 19.94 points to 1304.86, its lowest close since January 17.
The VIX futures all followed the spot index higher, but to lesser degrees. The June futures were up 1.8 points, or 7.4 percent, to 26.20. The July futures were up 1.22 points, or 5 percent, to 26.67. And the August futures gained 1 point to 27.15. While they all carry premiums to the cash VIX, the spread among them is very tight.
The VIX options traded 432,000 contracts, 275,000 of which were calls. The iPath S&P 500 VIX Short-Term Futures ETN (VXX) saw more than 208,000 options trade, with calls outpacing puts by almost 2 to 1.
The day's really big volume was in the SPDR S&P 500 Fund (SPY) with 4.9 million options and the S&P 500 Index (:SPX) with 1.6 million contracts, more than 1.1 million of them puts. Some see all of this data as the sign of capitulation and a possible bottoming in stocks.
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