Monday November 9, 10:32 PM
STOCKS NEWS US-VIX' modest drop normal given volatility data
Stocks on the move
Real (Frankfurt: BJU.F - news) -time Equity news
U.S. stock market report
1656 ET Volatility Index response to rally normal, given volatility data
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The CBOE Volatility Index fell 4.30 percent to 23.15 as the
underlying S&P 500 index rose 2.22 percent to 1,093.08. Chris McKhann,
analyst at optionMonster, said the decline was normal given the volatility
data, including the relationship between the VIX, VIX futures and realized
volatility for the S&P benchmark. First, a VIX level of about 23 predicts a
daily move of about 1.4 percent for the S&P benchmark. Another reason the
indicator did not fall sharply is that on a Monday, the VIX takes into account
the repricing of S&P options after a weekend. In volatility metrics, historical
volatility for the SPX (NYSE: SPW - news) has been on the rise. Over the past 10 days it stood at
25 percent, above spot VIX. In VIX futures, the two front months of November (Frankfurt: A0Z24E - news)
and December were each down about 6 percent, roughly in line with a 2 percent
rise in the S&P benchmark. The VIX futures contracts are pricing in slightly
higher volatility going forward, 'also a normal term structure for a bullish
S&P 500,' McKhann said.
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