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
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