VIX Futures, Options, and ETPs Today – 6/20/2013

With the relentless selloff that occurred today in the S&P 500, VIX reacted as would be expected and rose 23% to close over 20.00 for the first time in 2013.  VIX futures trading volume was exceptionally high coming in at 347,889 which is a second best in history.  The biggest volume day was back in mid-April when the gold selloff spilled over into other markets.  Something we have not seen much of in the past couple of years is the VIX curve in backwardation.  Even with VIX working higher from the low teens this year, the curve was stubbornly stuck in contango.  Well today it appears some panic did set in and the result was the curve adjustment that shows up below.  Higher VIX is always something to get excited about, especially at the CBOE, but when the curve changes shape, that’s when the volatility players start to take notice.  In fact is appears that five of the six tradable volatility markets are now in backwardation with Oil Volatility (OVX) being the lone market still in contango.VIX 6202013

VIX Option volume came in on the day at 766,000 which did not break any records, but was almost 30% above average daily volume in 2013.   About 468,000 VIX Call options and 297,000 Put options changed hands today with high demand on the call side pushing VVIX up by 12.39 to 100.98.  Some of the most actively traded contracts were the VIX Jul 20 Calls (53,585), VIX Jul 26 Calls (47,369), VIX Jul 15 Puts (31,958), and VIX Aug 25 Calls (50,388).

Finally – the iShares S&P 500 Short Term Futures ETN (VXX), which catches a lot of grief for having contango hamper performance during periods of low volatility, was up 11.73% today.  The performance came with record volume of 136,000,000 shares changing hands.