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VIX futures rise with spot volatility index

Chris McKhann (chris.mckhann@optionmonster.com)

The CBOE Volatility Index gained another 9 percent yesterday but finished off its session highs.

The VIX ended the day up 1.38 points at 16.81 after topping 17 in the morning. It rose in the afternoon as the S&P 500 gave up 8.27 points to 1433.32, closing sligthly above the morning lows. The two indexes usually move inversely.

The October and November VIX futures each gained 0.55 points to close at 17.70 and 18.90 respectively.
More than 522,000 VIX options traded with 348,000 calls, more than a third of them at the 26 strike in four expirations. The iPath S&P 500 VIX Short-Term Futures ETN (VXX) options again made the top 10 list in total volume, today with 256,000 contracts, 158,000 of which were calls.

The VVIX Index, which measures the implied volatility of the VIX options, picked up another 2.5 percent to climb above 95.

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