U.S. Markets closed

VIX and its futures slip with equities

Chris McKhann (chris.mckhann@optionmonster.com)

Equity indexes finished yesterday slightly lower, and the CBOE Volatility Index and its futures were down as well.

The S&P 500 was down less than 1 point to 1517.01, still near five-year highs. It closed in the middle of a 3-point range that held for almost the entire session. Support is 1496.

The Nasdaq 100 was also down less than 1 point to 2774.64. It ended the day in the middle of an 8-point session range, losing some ground right at the bell. The NDX has resistance at 2785 and support at 2715.

The Russell 2000 fell 0.64 points to 913.03, just off of Friday's all-time closing high. The small-cap index was down all day but climbed in the last hour. It has support at 897.

The VIX lost 0.08 points to finish at 12.94, the day's low. The volatility index held the 13 level for almost the whole session but slid in the final hour. Despite this relatively low level, it remains at a premium to the actual volatility of the SPX, which is at 8 percent. The two indexes usually move inversely but bucked that trend yesterday.

The VIX futures were all lower as well. The February futures, which have only one day left to trade, fell 0.35 points to 13.45. The March futures lost 0.15 points to close at 14.90. That action sent the iPath S&P 500 VIX Short-Term Futures Note (:VXX) down 1.6 percent to 22.63, a new all-time closing low.

The VIX options were sixth in total volume yesterday with just 250,000 contracts, led by 158,000 calls. The VVIX Index, which measures the implied volatility of the VIX options, was up 2.26 percent to 76.10 but still near lifetime lows.

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