DiffResearch Volatility Recap 12.11.12

The CBOE Volatility Index® (VIX®), the SPX option derived measure of implied volatility, fell -0.48 today to close at 15.57 while the underlying SPX index gained 9.29 to close at $1427.84, a 0.65% gain.

The front month December VIX future fell -.45 to settle at 15.55 a discount to the VIX index. At the CFE today 119,021 VIX futures changed hands while at the CBOE 470,375 VIX option contracts traded, 0.90x the typical daily volume for the product. Calls made up 69.6% 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.

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