The volatility index dropped a little over 13% today on the first day the market had to react to the Greek election.
Back on June 6th I pulled up the chart of the VIX to look at the various levels of resistance as well as the drop in momentum. Since then the index has fallen over 25%. Below is an updated chart, where we can see the volatility index has now fallen and closed below it’s lower EMA envelope. You may remember, the close above the upper envelope was part of what made me cautious when looking at volatility back on the 6th.
The CBOE reported after the close that today set a new record for the number of contracts traded on the VIX. Typically when we get a large spike in volume like this, the directional move isn’t able to sustain itself. Will this time be different?
The CFE announced that trading volume in VIX futures on the CBOE Volatility Index (the VIX Index) set a new single-day record today of 159,744 contracts traded, eclipsing the previous record of 152,067 contracts on August 5, 2011.
The CFE (CBOE Futures Exchange) also announced that Monday, June 18 was the most active trading day in CFE history.
Today’s single-day records come on the heels of the most active trading month in CFE history. During May 2012, trading volume, both exchange-wide and in VIX futures exceeded two million contracts for the first time ever. Last month, 2,000,154 VIX futures contracts changed hands.
Through the end of May, CFE’s year-to-date trading volume stood at 7,838,752 contracts, 76 percent ahead of the 4,463,758 contracts from 2011.
Source: VIX Futures With Record Day
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