Last Friday CBOE began disseminating spot VIX quotes during what we lovingly call the Extended Hours Session (ETH). The first quote for VIX on April 15th occurred at 2:15 am Chicago time. I was elsewhere Friday but I did check the data periodically and everything seemed to be running smoothly.
I’m back at work today so I decided to take a look at how VIX did relative to the S&P 500 futures market from 2:15 am to 8:15 am Chicago time, looking at the price every 5 minutes. At 8:15 am the SPX option market closes for 15 minutes before resuming trading at 8:30 am so there’s also a break in VIX quotes.
VIX acted as we would expect. The futures were down and VIX was higher, as the S&P 500 futures rose VIX fell. That inverse relationship holds up, even when most of us are sleeping. I can’t wait for the first ECB announcement or other overnight volatility ‘event’ to see how VIX acts at that time.