VIX and VVIX Indexes Both Jump More Than 45% on Wednesday, with Strong Trading Volumes

MAY 17, 2017 – Today both the CBOE Volatility Index (VIX) and the CBOE VIX of VIX Index (VVIX) rose more than 45%. Some U.S. news developments that impacted the financial markets today concerned the former FBI director James Comey and former National Security Adviser Michael Flynn.

TABLES WITH BIGGEST ONE-DAY MOVES

Today’s 46.4% move in the VIX Index was (in percentage terms) it sixth biggest move ever and its biggest one-day move (in percentage terms) since the Brexit vote.

Nine days ago (on May 8) the VIX Index closed at 9.77, its lowest daily closing value since 1993.

Today the CBOE VIX of VIX Index (VVIX) rose 34.72 points (or 45.2%) – its second biggest up moves both in terms of points and percentages. The VVIX Index is an indicator of the expected volatility of the 30-day forward price of the VIX. This volatility drives nearby VIX option prices. The VVIX table below shows the days with the biggest up and down moves.

Today more than six other volatility indexes (including VXST, VXGS, JYVIX, VXAZN, VXV, and VXAPL) rose more than 20%.

3-MONTH PRICE CHARTS

The 3-month price charts from Livevol below show the big upward moves on May 17 for both the VIX and VVIX indexes.

VIX FUTURES PRICES

The VIX Futures Prices table below shows that at 4:30 pm CT on May 17 (which actually was part of the May 18 trading day) the VIX futures prices ranged from 14.20 to 17.75.

HIGH TRADING VOLUMES ON MAY 17

  • The trading volume at the all-electronic C2 Options Exchange, Incorporated (C2) set a one-day trading record with reported trading volume of 966,604 contracts, surpassing a previous single-day record of 825,299 contracts set on November 9, 2016.
  • Trading volume on Bats’ two options exchanges, BZX and EDGX, also each had their second-busiest single trading days ever, with BZX trading a reported 3.9 million contracts and EDGX trading a reported 317,250 contracts. Bats is a CBOE Holdings company.
  • Trading volume at Chicago Board Options Exchange, Incorporated (CBOE) was a reported 7.6 million contracts, and combined reported trading volume at CBOE Holdings’ four options exchanges totaled nearly 13 million contracts on Wednesday.
  • In addition, CBOE Futures Exchange, LLC (CFE) today set its third-highest trading volume day with a reported 735,161 contracts. The flagship product of the CFE is VIX futures.

MORE INFORMATION

Visit www.cboe.com/volatility for more information about how to use volatility indexes and VIX futures and options.

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

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