VIX futures drop with volatility index

The CBOE Volatility Index, its futures, and the S&P 500 all ended down yesterday as we head into several days of market-moving news.

The VIX fell 0.24 points, or 1.3 percent, to close at 17.74. It was lower all day as the SPX dipped into negative territory on several occasions before finishing down 1.5 points to 1403.44. The two indexes typically move inversely.

The VIX futures were lower as well. The September futures were down 0.50 points, or 2.7 percent, to 18.15. The October and December futures were both down 0.40 points to 20.35 and 22.15 respectively.

While implied volatility came down slightly, they all continue to carry huge premiums to actual volatility. The 20-day historical volatility remains at a 52-week low of 6.25 percent.

More than 330,000 VIX options traded on the day, 242,000 of which were calls. The iPath S&P 500 VIX Short-Term Futures ETN (VXX) saw 195,000 options change hands, with calls outpacing puts by 2 to 1.

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