VIX Decreases Amid Stock Retreat as Jobs Data Cause ‘No Panic’

Jun 03, 2011 4:22 pm ET
June 3 (Bloomberg) -- The benchmark index for U.S. stock options and the Standard & Poor’s 500 Index fell, breaking their pattern of moving in opposite directions, as lower-than- estimated job growth failed to spur traders to pay more for insurance against equity losses.
The VIX, as the Chicago Board Options Exchange Volatility Index is known, fell 0.8 percent to 17.95 at 4:15 p.m. in New York. The index measures the cost of using options as protection against declines in the S&P 500, which fell 1 percent to 1,300.16.
The Labor Department said employers added 54,000 jobs last month, trailing the median economist estimate of 165,000 in a Bloomberg survey. The report reinforced speculation that a slowdown in the world’s largest economy is persisting into the second quarter.
“There’s no panic,” said Jonathan Bensimon, head of equities and derivatives trading for the Americas at Societe Generale SA in New York. “The figure was bad so the market deserves to go a little lower, but no one thinks that there will be a big selloff.”
The VIX has fallen 39 percent from this year’s peak of 29.40, which was reached after Japan’s record earthquake and tsunami in March, and is below the 20.35 average over its two- decade history. The VIX and the S&P 500 move in the opposite direction 81 percent of the time, according to data compiled by Bloomberg.
July VIX futures rose 0.3 percent to 19.40. August contracts climbed 0.3 percent to 20.36. The most-active VIX options were July 17 puts, which rose 2 cents to 85 cents. Almost 174,000 VIX puts changed hands, compared with 109,661 calls.
--With assistance from Sho Chandra in Washington. Editors: Joanna Ossinger, Nick Baker