VIX, futures jump even with SPX flat

The CBOE Volatility Index and its futures all moved significantly higher yesterday even as the S&P 500 remained essentially unchanged.

The VIX finished the session at 18.03, up 1.33 points, or 7.96 percent. The SPX ended the day down just 0.67 points, or 0.05 percent, to 1385.30. The two indexes usually move inversely.

The VIX futures had a much stranger close. The August futures rose 0.85 points, or 4.6 percent, to 19.45, while the September contracts gained 0.55 points to 21.20. Both jumped in the last minutes of trading to their highs of the day on relatively heavy volume.

The VIX option volume was relatively light at 234,000 contracts, including 178,000 calls. The iPath S&P 500 VIX Short-Term Futures ETN (VXX) saw 125,000 options change hands, with 90,000 calls. The VVIX Index, which measures the implied volatility of the VIX options, was up 1.8 percent to 94.74.

Overall it appears that there is concern that volatility will increase in the near term, which is not surprising given that the market could see big moves on the comments from our Fed or European governments in coming days.

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