VIX update
Friday, April 15, 2011 at 12:42PM From Bloomberg today:
VIX Slumps to Lowest Level Since 2007 as Manufacturing Expands
By - Apr 15, 2011 9:50 AM PT
The benchmark index for U.S. stock options tumbled to a three-year low, driven lower by smaller equity price swings and a report showing manufacturing in the New York region expanded in April at the fastest rate in a year.
The VIX, as the Chicago Board Options Exchange Volatility Index is known, slumped 7.2 percent to 15.10 at 12:44 p.m. in New York. That would be the lowest closing level since July 2007, a month before BNP Paribas SA, France’s biggest bank, barred withdrawals from funds that owned subprime loans, intensifying the financial crisis.
Price swings have narrowed for stocks, a situation that tends to reduce the value of equity derivatives. The VIX measures the cost of using options as insurance against declines in the Standard & Poor’s 500 Index, which moved within a 0.6 percent range between today’s high and low. The 10-day average intraday swing stands at 0.9 percent, down from a six-month high of 2.5 percent on March 16. The March 11 earthquake in Japan spurred a three-day slump of 3.6 percent in the S&P 500.
“The market just hasn’t been moving much since the Japan situation,” said Jeremy Wien, head of VIX options trading at Peak6 Capital Management LLC in Chicago. “We tested 1,300 yesterday and popped right back up” on the S&P 500.
The S&P 500 closed at 1,314.52 yesterday after slipping to a three-week low of 1,302.42 during the trading session. The VIX has averaged about 20.4 in its two-decade lifetime.
The Federal Reserve Bank of New York’s general economic index rose to 21.7 from 17.5 in March. Economists projected a reading of 17, based on the median forecast in a Bloomberg News survey. Figures greater than zero signal factory expansion in the so-called Empire State Index, which covers New York, northern New Jersey and southern Connecticut.
To contact the reporters on this story: Jeff Kearns in New York at jkearns3@bloomberg.net; Joanna Ossinger in New York at jossinger@bloomberg.net.
To contact the editor responsible for this story: Nick Baker at nbaker7@bloomberg.net.
