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VIX, futures fall on eve of expiration

Chris McKhann (chris.mckhann@optionmonster.com)

The CBOE Volatility Index and all the VIX futures closed lower yesterday on the last trading day before September expiration.

The VIX was down 0.41 points, or 2.8 percent, to finish the day at 14.18 as it fell pretty much all afternoon. This came as the S&P 500 climbed into the close but still finished down 1.87 points at 1459.32. The two indexes usually move inversely.

The VIX futures were all lower. The September futures finished the day down 0.75 points, or 5 percent, to 14.25 on their last day of trading before this morning's settlement. The October contracts, which will become the front-month futures after today's open, fell 0.55 points to close at 16.30.  

The VIX options traded more than 537,000 contracts, with calls just outpacing puts. The iPath S&P 500 VIX Short-Term Futures ETN (VXX) saw 171,000 options change hands, 96,000 of which were calls.

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