VIX Record Falls as Curve Inverts

Although all eyes were on the dramatic drop in the price of gold today, the S&P 500 lost 2.30% on the day.  This dramatic drop in the equity market was mirrored by a 5.21 point rise in VIX which closed at 17.27 up 43.20% on the day.  Near month VIX futures were also higher with the April contract that expires on the open Wednesday up 3.95 to 16.70 or a gain of around 31%.  The May futures which will take over as the front month after tomorrow posted a gain of about 18% settling the day at 16.65.  The result was a big shift in the VIX curve.   The chart and table below compare VIX and VIX futures pricing from the close last Thursday and today.  Note how much a difference two days can make.

411-415 VIX Change

The biggest number to come out of the VIX futures pit today was the volume number.  VIX futures volume was a colossal 449,955 contracts.  This shatters the previous volume record from February 25, 2013.  That day 302,986 VIX futures contract changed hands.  It is difficult to find the words to express the surge in volume experienced at the CFE today in VIX futures trading.  The table below gives some context of today’s activity through showing the top 10 volume days ever for VIX futures trading.

VIX Futures Volume

Also, the second busiest day ever was recorded in VIX option trading with volume of 1,390,688.  Today was second only to March 19 of this year when volume came in at 1,392,621.  We came up just a small block trade short of setting a record in VIX options as well.  The top 10 volume days for VIX option trading appear in the table below.

VIX Option Volume Table

As a final volume note the iPath S&P 500 VIX Short Term Futures ETN, better known by its symbol VXX, came in with volume just over 120 million shares – breaking a previous record day by about 6 million shares.  Finally, as I seek to be redundant about important things, I’m reiterating a friendly reminder that tomorrow is the last day of trading for April VIX futures and options with settlement determined on the open Wednesday.