Options Flow Summary and Unusual Activity Alert: CBOE Volatility Index (VIX)
CBOE Volatility Index - (VIX)
VIX is lower as the day ends in a few hours of uninspired trade. The major averages are mixed, with weakness in the Dow and the NASDAQ, but modest gains for the S&P 500.
VIX is down $.26 to $19.80 and likely to close below 20 for the first time in 2008.
The "fear gauge" has been drifting lower this week, as risk perceptions ease amid relatively upbeat earnings news (well, not as bad as feared).
VIX Daily Contract Volume
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Meanwhile, crude oil continues to run higher, up $2.44 to $118.50, but that news seems to be getting little play with more focus on the rallying buck. After breaking through 1.60 on the euro Tuesday, the dollar has seen three days of green and hit a low today of 1.554 earlier today.
VIX Daily Open Interest
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As shown in the charts above, although the VIX index has retreated, the volume remains concentrated in calls which pay off if market volatility returns. Existing open interest also is heavily call-dominated, with nearly 700,000 call contracts against only 229,000 put options held by market participants.
This is consistent with general behavior in VIX, as traders assume a general ëfloorí exists for the index, yet upside in a crisis is virtually unlimited.
Posted By: Trade Alert
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About Frederic Ruffy
Frederic Ruffy is a Freelance Writer and Options Trading Strategist. In addition to writing market commentary and trading-related books and articles, Fred has also worked as an instructor, educating investors on advanced topics like measuring volatility, the benefits of sector rotation and the risks and potential profits from trading around earnings. His market observations are mentioned frequently in the financial press and he currently trades stocks, futures, and options in Salt Lake City, Utah.
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