New All-time Record — 736,445 Avg. Daily Volume for VIX Options in October – by Matt Moran

November 5, 2013 – Options on the CBOE Volatility Index® (VIX®) set a new all-time record for average daily volume in a month, with average daily volume of 738,445 in October.

VIX opt avg daily volume Oct

In early October many investors were concerned about the partial government shutdown and debt ceiling jitters, and the VIX Index rose from 15.54 on October 1 to 20.34 on October 8.  The CBOE Short-Term Volatility Index (VXST) had an even more dramatic rise than the VIX Index in October, as the VXST rose from 14.67 on Oct. 1 to 23.54 on Oct. 15. www.cboe.com/VXST.

VIX & VXST thru Nov 4VIX IMPLIED VOLATILITY AND THE VOLATILITY SKEW ON TWO DATES

Investors who wish to trade the VIX options and gain a better understanding of the pricing of the VIX options could look at volatility skew charts to gain some insights as to pricing and implied volatility at various strike prices.  The chart below shows the volatility skew — 30-day implied volatility estimates for VIX options — on two recent dates – Oct. 15 (orange line) and Nov. 5 (black line).   The CBOE VIX of VIX Index (VVIX) closed at 103.37 on Oct. 15, and at 67.41 on Nov. 5.  www.cboe.com/VVIX    To learn more about how VIX options can serve as valuable and powerful tools, please visit www.cboe.com/VIX. VIX options - Vol Skew Nov 5

 

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  1. […] New All-time Record — 736,445 Avg. Daily Volume for VIX Options in October VIX Views Options on the CBOE Volatility Index set a new all-time record for average daily volume in a month, with average daily volume of 738,445 in October. http://www.spvixviews.com/2013/11/05/new-all-time-record-736445-avg-daily-volume-for-vix-options-in-october… […]

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