Volatility index reverses lower into close

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The CBOE Volatility Index finished at its session lows yesterday as the S&P 500 rallied into the close for the second day in a row.

The VIX was down 0.79 points, or 3.54 percent, to close at 21.54 after staying above 23 for much of the afternoon. The S&P 500 surged from below 1312 to above 1320 in the last hour of the day. The two indexes usually move inversely.

The June VIX futures fell 0.55 points, or 2.22 percent, to close at 24.25 after trading higher by 3.3 percent earlier in the day. The July VIX futures were down 0.40 points, or 1.5 percent to 25.95.

The VIX options also had a big day, with more than 715,000 options changing hands. Of that total 453,000 were calls, many of them traded at the close.

The iPath S&P 500 VIX Short-Term Futures ETN (VXX) traded more than 165,000 contracts, evenly split between the calls and puts.

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