Both the S&P 500® (SPX) and the CBOE Volatility Index® (VIX®) index options experienced strong volume growth in the 1st quarter of 2013 compared with the 1st quarter of 2012 – SPX options average daily volume rose to 809,067 (up 22%) and VIX options average daily volume rose to 633,811 (up 48%).
It is interesting to note the put/call ratios for both the SPX and VIX options for the time periods covered in the above chart —
- 1.58 SPX options 1Q’13
- 1.74 SPX options 1Q’12
- 0.47 VIX options 1Q’13
- 0.68 VIX options 1Q’12
SPX options often have had put/call ratios well above 1, while the VIX options put/call ratios usually have been below 1. While calls and puts can be used in a variety of ways by buyers and sellers, two of the simplest strategies for portfolio protection are the use of long SPX protective puts and long VIX calls.