Checking in on Overnight VIX Action

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.

5 Min Overnight VIX 4182016

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.