Tuesday, March 2, 2010

Market Review 3/2/2010

The S&P 500 was up 0.23% today and the VIX went down to 19.06%.
The spread between the April VIX futures and March VIX futures continued to narrow. See my earlier post.
Over the past month the volume of VIX options reached 5 million:
Yesterday the VIX put option volume reached 166,000. The put/call ratio for VIX options was around 1, which is significantly higher the the long term average of 0.52.
Interestingly the VIX option put/call ratio lags the VIX by about a month:

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