Today’s VIX Action

Being the numbers geek (or just geek depending on who you ask) that I am today’s VIX action had my head spinning. The percent gain almost cracked the top 10, the volume in the futures was out of control, and the shape of the curve shifted in a way we haven’t seen in years.

On a percent gain basis VIX has only climbed more in a single day on ten other occasions. I list those out below and was actually surprised to see the biggest percent change in VIX having occurred in late February 2007. On that day VIX ran from 11.15 on the previous trading day to 18.31 for a gain of 64.22%. If asked without doing research I would have guessed the biggest single day gain would have occurred in 2008. A final thought on 2007, as our current environment keeps mirroring that year, the high for VIX in 2007 was just a tad over 31.00.

























VIX Futures volume shattered the single day record that was previously set on January 2, 2013 with volume of 221,323 over all VIX futures expirations. Today 302,278 total VIX Futures changed hand in at the CFE. In fact the March contract alone saw volume of 145,449 which is greater than most days across all contracts.

The curve shifted and ended the day in backwardation in a convincing fashion. As Mark Sebastian notes in the previous blog the front six month futures contracts ended the day at a discount to the spot VIX index.  March was at a slight premium to both the April and May VIX Futures contracts. The one thing that fascinates me is that not a single futures contract finished above 20.00. It was not so long ago that we considered 20.00 to be average volatility.

The exchange traded products that based their performance on a VIX strategy index are beneficiaries of a combination of higher VIX futures prices and the inverted curve. The one everyone watches is VXX which was up over 14% today. Finally, in the option arena, the big volume was in near dated slightly out of the money calls, specifically the VIX Mar18, VIX Mar 19, and VIX Mar 20 Calls. There was lots of scattered buying pressure in March and April VIX options which resulted in VVIX running up about 20% on the day to 94.34 which is the highest level this year.

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