VIX falls with S&P 500 near record high

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The major equity indexes reached more new highs yesterday, sending the CBOE Volatility Index to new six-year lows.

The S&P 500 added 8.71 points to close the day at 1563.23, just a couple of points off its all-time closing high from 2007. It rallied at the open and again at the close to finish just off its session high. Resistance is at 1565 and support at 1525.
 
The Nasdaq 100 was up 8.62 points to close at 2807.30. That was in the middle of the day's range and leaves it within the narrow band of the last two weeks. Resistance is at 2846 and support at 2760.

The Russell 2000 hit yet another all-time high, gaining 9.17 points to 953.07. It climbed all day and closed at its session high. It has support at 920.

The VIX tumbled to its lowest levels since February 2007, falling to 11.05 just before closing at 11.30. It finished the day down 0.53 points, or 4.48 percent.

Even at these levels, the VIX remains at a substantial premium to actual volatility, as the 10-day historical volatility fell back to 5 percent.

The March VIX futures have just three days left to trade and were down 0.40 points to 12.55, but they still carry a substantial premium to the spot VIX's 11.30 reading. The April futures were down 0.1 to 14.6. That left the iPath S&P 500 VIX Short-Term Futures Note (:VXX) down 1.91 percent to $20.53.

More than 882,000 VIX options traded on the day, led by 630,000 calls. Despite this action the  VVIX Index, which measures the implied volatility of those options, was down 1.02 percent to 83.50.

Most of the VIX option action was in a four-way call spread. A trader sold 111,650 of the May 18/25 call spread to buy the same number of the same spread in June. This position is apparently looking for a potential pop in the VIX, but not until June. 


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