SPX Options Volume Jumps to 1.15 Million Today

WED. NOV. 7 — Today, the day after the U.S. election, the trading volume for S&P 500® (SPX) options was a strong 1,153,017 contracts, the biggest volume day for SPX options since Sept. 14th.  For comparison purposes, the average daily volume for SPX options on the previous 8 trading days was 613,248.

Today the S&P 500 Index dropped 33.86 points to close at 1,394.53.

Today’s SPX trading volume included 520,237 calls and 632,780 puts for a put-call ratio of 1.22, the lowest daily SPX put/call ratio since Oct. 23.  Some observers try to glean hints as to changes in investor sentiment from put-call ratios.

MOVEMENT IN S&P 500 (SPX) PRICES

Here are the daily closing levels for SPX on 4 recent select dates —

  • 14-Sep-12                   1,465.77
  • 5-Nov-12                     1,417.26
  • 6-Nov-12                     1,428.39
  • 7-Nov-12                     1,394.53

The VIX-and-more Blog noted —

“SPX Pullback Hits 5.9%, Fourth Longest Drawdown Since March 2009 Bull Began  The S&P 500 index fell as low as 1388 today, down 86 points or 5.9% from its September 14th high of 1474.  … Note that while a 5.9% drawdown is right in the middle of the pack in terms of the magnitude of the drop, the 36 days that it has taken for stocks to fall that far makes the current pullback the fourth longest in terms of peak-to-trough duration. …”   http://vixandmore.blogspot.com/

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SPX 1-week Chart

VOLATILITY INDEXES

As the SPX Index fell today, a number of related volatility indexes rose; for example, the CBOE Volatility Index® (VIX) rose 1.5 to 19.08, CBOE Equity VIX® on Apple (VXAPL) rose 2.1 to close at 33.24, and the CBOE Equity VIX® on Goldman Sachs (VXGS) rose 3.3 to close at 33.81.

VIX – 1-week Chart

Today’s strong volume totals included 216,567 VIX call options, 133,120 VIX put options, and about 179,000 VIX futures.

The put/call ratio for VIX options has risen each of the past 4 trading days —

  • 11/2/2012        0.27
  • 11/5/2012        0.48
  • 11/6/2012        0.49
  • 11/7/2012        0.61

LINKS TO MORE INFORMATION

To learn more about options and strategies to manage risk and enhance income, please visit these webpages —

 

The posts on this blog are opinions, not advice.
Please read our disclaimer for Indices.

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