Another Busy Day in S&P 500 and Gold Volatility

Whether it was short covering or long term bulls taking advantage of weakness the S&P 500 regained a good portion of yesterday’s losses.  As would be expected VIX dropped very quickly as the short term panic that gripped the markets yesterday disappeared just as quickly.  VIX was down just over 19% to close at 13.96.  The April Futures contracts, which settle on the open tomorrow, finished the day at 13.95 which was about a 16.5% drop.  The futures went out at a 0.57 discount to the index signaling an expectation of lower VIX and higher equity prices today.  That signal proved to be correct.  The bulk of the VIX futures volume was in the May contract which takes over officially as the front moth tomorrow.  I usually like to assign front month status to VIX futures the Friday before expiration.  Also, it was a pretty heavy trading day in the VIX futures arena with over 302,000 contracts trade.  This is the third busiest day in history for VIX futures volume, but still pales in comparison to yesterday where almost 450,000 contracts changed hands.

VIX 415-416















VIX option volume was heavy as well today with 1,155,790 contracts traded which is the eighth busiest day on record.  There was more call volume that put volume today which is typical for VIX trading, but the most actively traded VIX option contract was on the put side with 117,000 VIX Apr 14 Puts trading today.  May volume was a tad on the relative light side which may indicate the hedgers have either got their May positions in place or they are waiting for a lower VIX in order to come in a buy some calls.

Finally, as all the love from the financial press has been focused on the price of gold I should follow suit.  GLD ended the two day epic slide by finishing the day up a little over 1% which considering the price action from the previous two days may be considered a victory for gold bulls.   The implied volatility of GLD options is still at pretty high levels with GVZ finishing the day at 30.02 which is a drop of 4.46 on the day, but still at relatively high levels.  Note the shape of this curve and the May contract hovering around 22.50 which is a discount of 7.52 to the index.  That’s the volatility guys saying the recent GLD price action is going to be short lived.


GVZ 415-416

  • I do not see gvz dropping back to 15’s faster than may futures can converge to spot in 20’s. Can we get some futures volume so I can trade the convergence I see coming?

  • Frank I am with you – I would love to see a bit more volume in the GVZ futures as well. This week, although rough for some traders, seems to be bring traders into the GVZ markets.