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VIX, futures fall with S&P 500 bounce

Chris McKhann (chris.mckhann@optionmonster.com)

The CBOE Volatility Index and VIX futures tumbled at the close as the S&P 500 posted a gain of exactly 3 points.

The VIX was at 16.30 just an hour before the bell but finished down 0.61 points, or 3.72 percent, at 15.80. This came as the S&P 500 closed at 1436.56, in the middle of the day's range and off its low of 1433 with an hour left to trade. The two indexes usually move inversely.

The September, October, and November VIX futures were each down 0.80 points at the end of the day, all losing more than 4 percent. The September contracts, with one week left to trade, were exactly in line with the spot volatility index at 15.80. The October and November futures finished at 17.55 and 19.15 respectively.

The VIX futures set a new record in open interest on Tuesday and were just behind that mark yesterday. With that action, 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 Fund (UVXY) were all lower and just above Friday's record low closes.

The VIX options had another big day, though about half the record volume of the previous session. More than 546,000 of those options traded, 390,000 of which were calls.

The VXX options traded 200,000 times, with calls outpacing puts by 3 to 1.

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