The CBOE Volatility Index ended higher yesterday even as the S&P 500 gained nearly 1 percent, bucking their typically inverse relationship.
The VIX finished the day at 18.38, up fractionally after spending most of the session below 18. It pushed up to 18.62 at the bell but fell in the following minutes.
The June VIX futures, which settle this morning, fell 2.9 percent to close at 18.45, off 0.55 points. The July futures were actually higher, up 0.10 points to 21.90, carrying a large premium to the spot volatility index. The August futures were down 0.10 points to 23.80.
The VIX option volume was again very strong, with 831,652 contracts changing hands and calls slightly outpacing puts. The iPath S&P 500 VIX Short-Term Futures ETN (VXX) saw 226,000 contracts trade, 134,000 of which were puts.
The fact that the VIX, its July futures, and SPX were all up is quite unusual and suggests some concern going into the next several days.
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