VIX Action Today

Today was a headline grabbing day for the markets as the S&P 500 dropped 1.24% on the day. Around the CBOE we always quickly check what VIX did on days like this and VIX rose 19.25% from 12.31 to 14.68. This is the biggest move for VIX on a percentage basis since a 31% move in November 2011. Although we had a volatile day VIX at 14.68 is still a pretty low reading relative to recent history. Late last week we were putting in post 2008 lows so this 19% move is off a lower base than the move in 2011. 

In the VIX option arena there was a trade that stood out and credit for highlighting this needs to go out to Jon Najarian at optionMonster. He noted that when the S&P 500 was at 1521 about an hour and fifteen minutes before the market close there was a buyer of 40,000 VIX Mar 15 Calls at 0.95. Those contracts closed at 1.40 for a very nice unrealized profit for that trader. The VIX Apr 18 Calls were also active with 34,000 contracts traded and the VIX May 13 Puts saw 43,000 contracts change hands.

Trading wise the VIX curve shifted in a pretty normal fashion. The futures were all higher, but did not match the move up in VIX. The front move March futures rose a little over 10% to 15.40. As is typical of VIX futures trading the farther out on the curve the less of a move higher the contract experienced today.

VIX Curve.jpg