The VIX and VIX futures popped higher into the close yesterday as the S&P 500 fell below 1400 in the final minutes of trade.
The VIX closed up 0.77, or 4.5 percent, to 17.83. It was near the lows of the session around 17.50 going into the bell, and remained below its morning highs above 18. The SPX slid to close at 1399.48, down 11 points.
The VIX futures also surged into the close. The September futures were up 0.4 or 2 percent to finish trading at 19.65. The October and November futures both gained 0.25, reaching 21.95 and 23.5, respectively.
Several observers have noted the muted return of the short term VIX products like the VXX or TVIX over the last couple of weeks. The VXX is up about 5 percent with the VIX up more than 30 percent. That results from the fact that the VIX isn’t tradable, while premiums on the VIX futures were already pricing in higher volatility levels.
More than 297,000 VIX options traded on a day when overall volume rose from the lows of the year. Calls barely outpaced puts. The VXX options traded 138,000 contracts, with 90,000 calls.
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