Differential Research

I apologize for not posting, but I will be spending the next couple of weeks in the UT Library finishing a book.

Copyright secured by Digiprove © 2012 Michael Mccarty

Reversing yesterday’s rise in implied volatility and the dramatic decline in the US equity market, the CBOE Volatility Index® (VIX®), the SPX option derived measure of implied volatility, fell -1.80 today to close at 19.07 while the underlying SPX index gained 9.27 to close at $1352.63, a 0.69% gain.

At the CFE today, 61,420 VIX futures changed hands while at the CBOE 399,618 VIX option contracts traded, 0.90x the typical daily volume for the product. Calls made up 48.3% of the volume.

data sources: CFE, Trade-Alert LLC, Yahoo Finance and Differential Research LLC

The risk of loss in trading commodity futures and options is substantial. Before trading, you should carefully consider your financial position to determine if futures trading is appropriate. When trading futures and/or options, it is possible to lose more than the full value of your account. All funds committed should be risk capital. Past performance is not necessarily indicative of future results.

Copyright secured by Digiprove © 2012 Michael Mccarty