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VIX futures follow volatility index lower

Chris McKhann (chris.mckhann@optionmonster.com)

The CBOE Volatility Index finished yesterday a penny off its session low even as the S&P 500 slipped from its highs going into the close.

The VIX fell 1.97 points, or 11.72 percent, to 14.84. That reversed the gains from Wednesday and half of those from Tuesday. The SPX climbed above 1450 but pulled back to close at 1447.15, still up almost 14 points on the day. The two indexes usually move inversely.

The VIX futures followed the spot volatility index lower. The October futures were down 1.70 points to 16.05, and the November contracts lost 1.20 points to close at 17.70. Those futures still carry premiums but are lower than we have seen of late.

The VIX options traded just under 380,000 contracts, led by 276,000 calls. The iPath S&P 500 VIX Short-Term Futures ETN (VXX) options were close behind at 351,000, with slightly more calls than puts.

The VVIX Index, which measures the implied volatility of the VIX options, the volatility index of the VIX options, was down a dramatic 7.2 percent to finish just above 88.

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