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VIX back below 15 as stocks rebound

Chris McKhann (chris.mckhann@optionmonster.com)

Equity indexes rebounded on Friday, driving the CBOE Volatility Index back below the 15 level to end a roller-coaster week of trading.

The S&P 500 was up 13.54 points to 1555.25, just off the session high reached in the final minutes before the bell. The SPX climbed back above its close from Monday, when the market sold off sharply. Resistance is at 1597, while support is at 1536 and then 1500.

The Nasdaq 100 gained 38.51 points to 2780.46, marking the best percentage gain of the three indexes at 1.4 percent. The NDX reached its session peak in the morning and then traded in a range from there. Resistance is at 2860, while support is at 2730 and then 2700.

The Russell 2000 was up 10.98 points, or 1.22 percent, to 912.50. The small-cap index finished just off the day's high. Resistance remains at its all-time high of 954, while support is at 898 and then 880.

The VIX was down 2.59 points, or 14.75 percent, to 14.97. That was just above the session low, which came at the bell. Part of the drop is attributable to the weekend effect that results when time decay is priced into the S&P 500 options, on which the volatility index is based. The 10-day historical volatility of the SPX climbed back above 19 percent.

The May VIX futures lost 1.30 points to finish trading at 15.90, while the June futures slipped 0.75 points to 16.75. This action left the iPath S&P 500 VIX Short-Term Futures Note (:VXX) down 7.26 percent to 20.44.

The VIX options remained quite light at just 339,000 contracts, led by 210,000 calls. The VVIX Index, which measures the implied volatility of those options, was down more than 11 percent to 95.52. In unusual action, the VXX options traded far more contracts, turning over 574,000 times with 369,000 puts.

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