The S&P 500 finished the day higher for the fourth day in a row and VIX dipped below 20.00 for the first time since February 5th. The chart below shows that as the S&P 500 moved up over the day as VIX worked lower. What is referred to commonly as the ‘fear index’ is starting to indicate there is less fear in the market than we experienced last week.
Today marked expiration day for standard February VIX and Options with both settling at 21.87 as indicated on today’s intraday chart below.
Standard expiration is usually a pretty quiet day in the VIX pit as most positions have been rolled to the next expiration. The biggest trade of the day occurred just before lunch time when VIX was at 19.51 and the March future was trading around 18.70. It’s a pretty basic trade in the form of a buy of 23,168 VIX Mar 12.50 Puts for 0.11. Although far from where VIX and the March contract is trading right now, this trade profits if VIX is below 12.39 on March settlement which, before today’s February settlement had become a price level we’d become accustomed to.