VIX Futures Volume Makes New High, Curve and Options Update (VIX Up 35% at 31)

VIX (see below for a larger chart)
As you already know, the S&P had a bad day today closing down 4.78% at 1,200. However, the VIX, or Volatility Index, finished up 35% at 31.66! There are VIX futures and options on those futures that trade at the CBOE Futures Exchange. VXX, the short-term VIX futures ETN, had a nice day as well, up 19% on BIG volume (95 million shares, the most I see on the chart).

Below I put up charts of VXX, $VIX, the VIX futures curve and VIX term structure ("expectations of market volatility conveyed by S&P 500 (SPX) stock index option prices") to show the backwardation going on (front month value is way above back month). I also embedded two Option Monster Volatility Sonar Reports from yesterday and today. VIX Calls were active yesterday. CBOE said 137,132 VIX futures contracts traded today which is a new single-day record (press release below). So now the question is, where does the S&P find support and premiums on SPX options top out? If you are still confused about what all of this means or want to learn more, visit the VIX and VIX Options FAQ at cboe.com. The VIX measures market sentiment.


$VIX (Volatility Index) courtesy of StockCharts.com (pierced March high)


$VXX (iPath S&P VIX Short-Term Futures ETN)


VIX Futures Curve at CBOE/CFE



Volatility Sonar Reports courtesy of OptionMonsterTV (via Chris McKhann and Jamie Tyrrell on Aug 4 and Aug 3).




Calls were active yesterday.... Did they make money today?




Here is the press release from CBOE today:
"TRADING OF FUTURES ON CBOE VOLATILITY INDEX (VIX) REACHES NEW HIGH, 137,132 Contracts Traded on Thursday Is New Single-Day Record

CHICAGO, August 4, 2011 – CBOE Futures Exchange (CFE) announced today that trading volume in futures on the CBOE VolatilityIndex® (VIX®) established a new single-day record on Thursday, August 4. The 137,132 contracts that traded today surpassed the previous single-day record of 104,773 contracts traded on July 14, 2011.

July 2011 was the third consecutive month for record average daily volume (ADV) in VIX futures trading as 58,453 contracts per day changed hands at CFE during the month. July VIX futures ADV was up 356 percent over July 2010 ADV of 12,827 contracts and up five percent from June 2011 ADV of 55,557 contracts. July also marked the third month this year in which the total monthly trading volume in VIX futures exceeded one million contracts (1,170,656 contracts).

Total exchange volume also reached a new all-time at CFE as 137,508 contracts traded today, besting the previous high mark of104,811 contracts on July 14.

CFE currently offers futures on five different contracts, including: the CBOE Volatility Index (VIX), Weekly options on VIX futures (VOW), CBOE mini-VIX (VM), CBOE Gold ETF Volatility Index (GVZ) and CBOE S&P 500 3-Month Variance (VT).

CFE, a wholly owned subsidiary of CBOE Holdings, Inc. (NASDAQ: CBOE), offers an all-electronic, open-access market model, with traders providing liquidity and making markets. CFE trades are cleared by the AAA-rated Options Clearing Corporation (OCC). CBOE Futures Exchange is regulated by the Commodity Futures Trading Commission (CFTC). More information on CFE and its products, including contract specifications, can be found at: http://cfe.cboe.com/.

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