VIX Index rises despite market gains, settles at a premium to front-month VIX future

While the equity market as measured by the S&P 500 (SPX) index add equity volatility both rose, the equity market’s increase was not significant enough to add much weight to the correlation. The CBOE Volatility Index® (VIX®), the SPX option derived measure of implied volatility, which rose 0.15 today to close at 16.05 while the underlying SPX index gained 0.48 to close at $1418.55, a 0.03% gain.

At the CFE today, 78,175 VIX futures changed hands while at the CBOE 389,858 VIX option contracts traded, 0.75x the typical daily volume for the product. Calls made up 67.6% of the volume. The front month VIX December future was unchanged at 16.00 closing at a discount to the VIX Index. All other VIX futures settled lower.

The rise for the VIX Index and its premium to the front-month VIX future suggests concern over the pending fiscal cliff.

The CFE today began trading S&P 500 Variance Futures, with expirations matching the listing cycle for SPX options expirations. Quotes can be found on a Bloomberg terminal with the symbol “VAAA Index”

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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