What an incredible day, as VIX exploded to 21, and the market sold ever single bounce we saw. And just like that, we are now -4.6% lower from the All-time high of 1726.75. ES closed down -21.45 handles at 1646.25 with good size volume of 2.35MM minis traded. Session high came in at 1671.50, and session low after the cash close at 1646 even. We are now below the 100 DMA. There is still no progress at all on the Gov Shutdown, or on the upcoming debt ceiling. As we said yesterday, the VIX will stay elevated until we get some type of resolution, until then expect more vol.
VIX closed up +4.79% at 20.34, with a session high of 21.01!!! Premiums continued their run, with action picking back up past the 35 strike in the October options, which expire a day before the X-date of Oct 17. Guess what, we also made a new all time high for VIX Options, with a total volume traded today over 1.7MM contracts. Spot VIX is now higher than the next 6 VIX futures. Wow.
VIX New Record
VIX TERM STRUCTURE