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VIX soars above 20 as stocks plunge

Chris McKhann (chris.mckhann@optionmonster.com)

Equities tumbled again yesterday as the fallout from this week's Fed update continued, pushing the CBOE Volatility Index above 20 and to new highs for the year.

The S&P 500 was down 40.74 points, or 2.5 percent, to 1588.19--its lowest close since May 1. For perspective, the day before had seen an all-time closing high for the SPX, and we have only given up the gains from the two following weeks. Yesterday the SPX found some support at 1600 until the last two hours of trade, when it took another leg down and closed just a few points off the session low reached right before the bell. It now has support at 1552 and resistance at 1652.

The Nasdaq 100 gave up 69.17 points, or 2.34 percent, to finish at 2890.33--also its lowest close since May 1. It found midday support at 2910. It now has some support at 2858 and then at 2742. Resistance is at 3000.

The Russell 2000 was down 25.99 points, or 2.63 percent, to 960.52. That was its lowest close since May 6, after posting a new record closing high just Tuesday. It has support at 947 and resistance at 1000.

The VIX gained 23.14 percent to break above 20 for the first time in 2013. It was up 3.85 points to 20.49 after hitting a session high of 21.32 just before the bell. These are the volatility index's highest levels since the final days of 2012, when the SPX was down at 1400. The two indexes usually move inversely.

The VIX futures followed higher, but the front four months are now at a discount to the spot volatility index. The July futures gained 2.05 points to close at 19.60, while the August contracts were up 1.10 points to 19.45. This boosted the iPath S&P 500 VIX Short-Term Futures Note (:VXX) by 11.73 percent to $22.41, its highest close since March 4.

Because of the compounding nature of the leveraged funds, the ProShares Trust Ultra VIX Short-Term Futures Fund (:UVXY) was up 23.25 percent to $84.40 (after its recent reverse split) but had a higher close on April 18.

The VIX options turned over 765,000 times, with 468,000 calls. The VVIX Index, which measures the implied volatility of the those options, was up 14 percent to 100.98. But the real action was in the VXX options, which traded 854,000 contracts, with calls just barely outpacing puts. 

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