VIX falls late as SPX rallies into close

optionMONSTER

The CBOE Volatility Index and its futures collapsed at the end of yesterday's session while the S&P 500 climbed back into positive territory, in line with the inverse correlation of the two indexes.

The VIX had hit its intraday peak of 16.49 about 45 minutes before the close, then fell to finish at its session low of 15.71, down 0.61 points, or 3.74 percent.

The S&P 500 had been at its intraday low of 1439.01 going into the final hour but closed at 1445.51, gaining slightly more than 1 point. The S&P 500 now sits right at its 20-day moving average, with support at 1433 and resistance at 1460.

The Nasdaq 100 saw similar price action as the SPX, rising 5.01 points to 2799.29, but had been below its 20-day moving average for the last week. The NDX has resistance at 2823 and support at 2768.

The Russell 2000 finished the day up 0.20 points at 840.51 and has also been below its 20-day moving average for the last week. The small-cap index has support at 832 and resistance at 856.

The VIX futures had been mixed all day before finishing down sharply. The October futures held their gains into the last hour but closed lower by 0.35 points at 16.60. the November futures had been unchanged for most of the day but dropped 0.45 points to 17.85 at the close

The term structure of these futures is the flattest we have seen in quite some time, but these volatility levels are about twice the actual volatility in the SPX.

The SPX options traded 418,000 contracts, 287,000 of which were puts. The VIX options traded 242,000 times, with calls outpacing puts better than 2-1.

One interesting data point is the "skew," which measures the cost of puts compared to calls. It is at the high end of the range above 128, which has been seen only a few times in the last couple of years.

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