The CBOE Volatility Index closed yesterday just above the 20 level as the S&P 500 retreated from session highs.
The VIX rose 5.41 percent to close at 20.08. It shot up to 21.59 in the morning as the SPX sold down to 1343.13. The two indexes usually move inversely.
The VIX May futures finished the day up 0.95 points at 20.50, while the June futures were up 0.85 points to 21.85. The term structure continues to flatten, but the later-dated contracts remain increasingly higher.
The VIX options totaled 415,000 contracts, 259,000 of which were calls. The VVIX, the implied volatility index of the VIX options, rose again to close at 102.07. The iPath S&P 500 VIX Short-Term Futures ETN (VXX) saw more than 171,000 options change hands, with calls slightly outpacing puts.
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