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Volatility spikes higher as equities fall

Chris McKhann (chris.mckhann@optionmonster.com)

Equity indexes sold off yesterday, driving volatility in all its gauges higher.

The S&P 500 was down 22.48 points to clost at 1608.90, just above the intraday low set with about 90 minutes left of trade. That was the SPX's lowest close since May 2, which was a record closing high at the time, and is 3.5 percent from its record close on May 21. It has resistance now at 1643 and some support at 1600, then at 1578.

The Nasdaq 100 gave up 36.55 points to finish at 2937.14. It has followed a similar pattern as the SPX. Resistance is at 2990 and support at 2910, then 2850.

The Russell 2000 fell 13.81 points to 968.16. It has resistance at 990 and support at 947.

The VIX was up 1.23 points, or 7.56 percent, to 17.50. The volatility index was as high as 17.84 with the SPX low. Yesterday's close was the highest since April 18, when the SPX closed at 1540.

The spot volatility index remains above the June VIX futures, which gained 0.95 points to close at 17.05. The July futures were up 0.55 points to 17.65. This had the iPath S&P 500 VIX Short-Term Futures Note (:VXX) up 4.24 percent to $20.16.

The VIX options topped 720,000 contracts--strong volume, but not overly so given the market action. It was also surprising that calls only slightly outpaced puts. Coming up right behind on the volume list were the VXX options, which turned over 380,000 times, with 208,000 calls.

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