The CBOE Volatility Index futures settled this morning at a surprisingly high 16.42, well above the level where the spot VIX closed yesterday.
That is the final price for the August VIX futures and the level that any remaining August VIX options will based on. The settlement is exceptionally high, given that the S&P 500 is down just 3 points.
The spot VIX did jump as high as 16.29, but it is not clear why. The VIX futures followed suit, so it is not just a statistical glitch.
Clearly the SPX option action this morning pushed the print higher, as we see SPX put buying down to 1200. The VIX settlement is based on traded SPX prices, while the spot VIX comes from the midpoint of the bid/ask spread, so the settlement can be different from the volatility index. But the jump in the VIX and that high August settlement is still quite odd.
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