Volatility index, VIX futures rebound


The CBOE Volatility Index ended yesterday up 9.05 percent, just off its session high.

The VIX was near 14 at one point during the day but closed at 15.43, up 1.28 points, after climbing all afternoon. The S&P 500 continued its slide, ending the day down 15.30 points to 1441.59. The two indexes typically move inversely.

The VIX futures were all higher as well. The October futures rose 1.35 points to 17.25, and the e November contracts gained 0.80 points to close at 18.40.

As a result, the iPath S&P 500 VIX Short-Term Futures ETN (VXX), the VelocityShares Daily 2X VIX Short-Term Note (TVIX), and the ProShares Trust Ultra VIX Short-Term Futures Fund (UVXY) saw all-time lows this morning but finished the day sharply higher.

The VIX options saw another heavy day of trading with 500,000 contracts changing hands, as calls made up the majority with 325,000. The VXX options also made the top 10 in option volume with 268,000 contracts and calls outpacing puts by 2 to 1.

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