This Week in VIX – 8/1/2014

VIX rose just over 35% last week with the big part of that move coming from Thursday’s price action. However, Friday’s price behavior was pretty interesting as the S&P only finished down 0.29%, but did trade in a high low range of over 1%. For a longer review of what happened on Thursday click on the link that appears between these words and the VIX price chart –

http://www.cboeoptionshub.com/2014/07/31/vix-today-time-may-different/VIX PA

 

My personal pattern that goes along with how VIX moves to the upside have been short lived over the last couple of years relates to how I put this blog together. On weeks where VIX rises dramatically mid-week and then comes back down very quickly I would add an extra curve to the chart below to highlight the price action  Since VIX held up on Friday and the near dated futures actually played some catch up rising more than the index and narrowing the spread a bit.

VIX

 

Volume is always a big deal around CBOE, especially when it comes to VIX. Friday was a huge day for VIX futures volume with not just one, but two records broken. First, volume during the extended hours session came in at 68,033 contracts, which broker the previous record of 59,505 contracts which was set on July 10, 2014. The other new record that was set on Friday involved total VIX futures volume which came in at 527,803. The previous total VIX futures volume record was set on April 15, 2013 as a total of 449,955 contracts traded on that date.

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Russell Rhoads, CFA

CBOE Options Institute

Russell Rhoads, CFA, is a Senior Instructor with the Options Institute at the Chicago Board Options Exchange. He joined the Institute in 2008 after a career as an investment analyst and trader with a variety of firms including Highland Capital Management, Caldwell & Orkin Investment Counsel, TradeLink Securities and…

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