Volatility index falls but stays above 19

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VXX18.73-0.05

The CBOE Volatility Index ended yesterday not far off the session's lows but did close out the day above the 19 level.

The VIX lost 1.13 points, or 5.5 percent, to finish at 19.34. It briefly broke below 19 as the S&P 500 hit an intraday high above 1343, but the volatility index climbed back as the SPX closed the session down fractionally at 1337.89. The two indexes are inversely correlated.

The VIX futures also fell on the day, which was not unexpected given the low volatility. The August contracts were down 0.80 points, or 3.66 percent, to 21.05. The September futures gave up 0.75 points to close at 22.45.

The VIX options traded 315,000 contracts, led by 240,000 calls. The iPath S&P 500 VIX Short-Term Futures ETN (VXX) saw 139,000 options change hands, with calls just outpacing puts. The VVIX Index, which measures the implied volatility of the VIX options, was down 4.6 percent to 106.53.

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