Rally sends VIX to lowest level in month

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The primary U.S. equity indexes gained 2 percent or more yesterday, driving the CBOE Volatility Index to the lowest in a month.
 
The S&P 500 was up 27.01 points, or 1.99 percent, to close at its session high of 1386.89. Support is now 1348, and resistance is just below 1400.

The Nasdaq 100 was up 61.67 points, or 2.43 percent, to finish at 2595.76. That was the best percentage gain of the three major indexes, as the NDX saw a steeper and steadier climb than its peers throughout the day. It has support at 2494 and resistance at 2623.

The Russell 2000 was up just shy of 17 points to close at 793.06. It has support at 764 and resistance at 805.

The gains in all the stock indexes were impressive but take them back only to where they were at the beginning of last week. All three are still below their 20-day moving averages.

The equity rally drove the VIX down 1.17 points, or 7.13 percent, to 15.24. That is its lowest close since Oct. 18, when the volatility index finished at 15.03 and the SPX was trading around 1460, more than 70 points higher than we are now.

The VIX futures were also lower. The November futures--which have only one more day to trade--were down 1.55 points, or 9.25 percent, to 15.20. December futures lost 1.60 points to 16.60. Given that Friday saw 178,000 VIX futures trade, I believe it was a record week for those futures.

The VIX options had a big day yesterday with volume of more than 1.1 million contracts, led by  701,000 calls. The SPX options traded 642,000 times, with just slightly more puts than calls.

Despite all the action in the VIX options, the VVIX Index, which measures the implied volatility of the VIX options, was down 2 percent to 88.43. On the whole it appears there is very little actual fear in the markets about the "fiscal cliff," or at least no one is acting on it.

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