Historic rally drives VIX below 12 level


Equities continued their historic run higher after an intraday reversal on Friday, pushing the CBOE Volatility Index to its lowest close in nearly three months.

The S&P 500 picked up 2.80 points to close at a new record of 1709.67. It was down almost the entire session until a surge in the last hour. Support is at 1670.

The Nasdaq 100 gained 17.22 points to close at 3143.52, a new 13-year high. Unlike the SPX, it was higher for most of the day as it rose steadily after some volatility in the first 90 minutes. It has support at 3030.

The Russell 2000 was off just 0.02 points to close at 1059.86. It had climbed all day as well but dipped just before the bell. It has support at 1020.

(When equity indexes are at highs, further resistance levels are obviously projections not based on previous trading patterns, so I will refrain from listing them.)

The VIX was down 0.96 points, or 7.42 percent, to 11.98--its lowest close since mid-May. Part of the drop was caused by the repricing of SPX options for weekend time decay , an adjustment that occurs every Friday. The volatility index is not far from its post-2008 closing low of 11.30 reached in March. (See our Volatility Sonar report for more)

The VIX futures followed lower. The August contracts fell 0.45 points to 13.15, while the September futures lost 0.40 points to close at 14.65. This had the iPath S&P 500 VIX Short-Term Futures Note (:VXX) down 2.4 percent to yet another record low of $14.25.

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