VIX Index premium to front month future – Fiscal Cliff Concerns ahead of the holidays?

With the equity market managing a positive day, implied volatility gave back recent gains. The CBOE Volatility Index® (VIX®), the SPX option derived measure of implied volatility, fell -0.66 today to close at 16.46 while the underlying SPX index gained 2.23 to close at $1409.28, a 0.16% gain.

The front month December VIX future fell -.40 to settle at 16.10 a discount to the shorter term VIX Index. While the index premium to the front month future likely suggests continued anxiety over fiscal-cliff posturing, representing the expectation for SPX volatility for the 30 calendar days ending with January SPX index expiration, a period full of holidays, the December VIX future has historically traded “cheap” compared to its brethren.


At the CFE today 110,537 VIX futures changed hands while at the CBOE 366,872 VIX option contracts traded, 0.69x the typical daily volume for the product. Calls made up 71.3% of the volume.

VIX Futures volumes continue to climb!

This week the CFE announced that total monthly trading volume in VIX futures set an all-time high for the third consecutive month in November with 2,734,248 contracts traded during the month, up 12% from October’s previous record of 2,443,878 contracts.

Daily volume and Open Interest since their introduction.

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.

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