The CBOE Volatility Index finished Friday just off its session high as the market slid into the close yet again.
The VIX gained 2.5 percent to close at 25.10, up 0.61 points, as the S&P 500 was down almost 10 points to close at 1295.22. The volatility index, which is based on the SPX options, usually moves inversely to the S&P 500.
The VIX was down for most of the day, and the move was muted as the weekend time decay of the SPX options was priced in as usual on a Friday. The VIX is also being anchored, at least to some degree, by the fact that the 10-day historical volatility for the SPX is still less than 10 percent.
The VIX futures saw more dramatic moves. The June contracts were up a surprising 2.01 points or 7.6 percent, to 28.20, including a big push higher in the final minutes to the day's high. The July futures were up 1.42, or 5.4 percent, to 28.15. The August futures were up 1.24 points to 28.40.
So the front-futures are above the second month, the first time we have see that in quite some time, suggesting that traders are worried about more near-term downside in equities.
More than 550,000 VIX options traded on Friday, with 331,000 calls. The iPath S&P 500 VIX Short-Term Futures ETN (VXX) saw 279,000 contracts trade, also with more calls than puts.
The VVIX, or volatility index of the VIX options, rose to a new high (in its short life) above 117. It was down at 85 at the start of the month.
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