Friday, February 19, 2010

Market Update 2/19/10

The Fed's decision to hike the discount rate after the prior session's close stirred market participants to dump stocks but the market managed to recover by the end of the day.

The S&P 500 ended up 0.22%, while the VIX went down 61 bps and finished the week at 20.02.

It was interesting to see the parallel shift down in the VIX Futures term structure. The March, April and May futures all lost 45 bps:

The May 2010 VIX futures closed at 24.05 the lowest for the week, but still slightly higher than a month ago when they were traded at 23.8.

The VIX options implied volatility surface remained relatively unchanged from yesterday:

Today we saw higher volume for the April 25 and 37.5 call VIX options. 25,000+ and 50,000+ were traded respectively.

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