U.S. Markets closed

Volatility index soars as stocks sell off

Chris McKhann (chris.mckhann@optionmonster.com)

The CBOE Volatility Index rocketed more than 43 percent as equities sold off sharply yesterday.

The S&P 500 lost 36.49 points, or 2.3 percent, to finish at its session low of 1552.36. That was its lowest close since March 25, though it is in the intraday range of a week ago Friday. Most of the losses were already in place when news of the Boston explosions broke, but it broke through support at 1560 after that. Resistance is now 1593, while support is 1540 and then at 1515.

The Nasdaq 100 gave up 59 points, or just over 2 percent, to 2797.47. It also finished at the low of the day and blew through support at 2810 in the last 90 minutes after the Boston news. Resistance is at 2860 and support at 2750.

The Russell 2000 had the worst day of the three indexes, losing more than 35 points, or 3.78 percent, to close at 907.18. That is the lowest close since the end of February. Resistance is at 947 and support at 895.

The VIX jumped 5.21 points, or 43.2 percent, to finish the day at its session high of 17.27. That is the fifth biggest percentage jump in its history and its highest close since Feb. 25, the day the S&P 500 fell below 1488.

The action had the VIX above the front-month futures. The April futures were up 3.90 points to 16.65, while the May futures finished at the same level of 16.65, up 2.50 points. The June futures gained 1.55 points to close at 16.85.

The VIX futures volume hit a new record by a long shot, coming in just shy of 450,000 contracts, about 50 percent above the previous record. The action had the iPath S&P 500 VIX Short-Term Futures Note (:VXX) up 15 percent to 21.11.

The VIX options volume hit 1,390,688, missing their all-time record from a month ago by just 2,000 contracts as calls outpaced puts by 2 to 1. The VVIX Index, which measures the implied volatility of the VIX options,  was up 27 percent to 104.62, a 2013 high.

More From optionMONSTER