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VIX Moves Back Over $22

The widening price differential of VIX and VIX futures suggests more VIX risk and less VIX futures risk.

Stocks closed up on Wednesday as markets struggled to find momentum all session on light volume. The Dow Jones Industrial Average ended up 46.24 points, or 0.44%, to close at 10,572. The S&P 500 gained 3.97 points, or 0.35%, to close at 1125, and the Nasdaq was up 11.55 points, or 0.50%, to finish at 2301. Health care, consumer staples and technology rose, while utilities, energy, and materials fell.

The CBOE Volatility IndexI:VIX closed up $0.54, at $22.10, while VIX September futures were down $0.48, at 25.22, October down $0.28, at $27.32 and November down $0.10, at $28.20. The widening price differential of VIX and VIX futures suggests more VIX risk and less VIX futures risk. VIX put volume of 185,000 contracts compares to call volume of 92,000, with October 35 and 45 calls active.

The SPDR S&P 500 ETF (SPY) - Get SPDR S&P 500 ETF Trust Report closed up $0.43, at $113.08. SPY October put option implied volatility of 21 is below its four-month average of 24. Put volume of 983,000 contracts compares to call volume of 521,000, with October 110 and October 112 puts active. The September 112 call straddle is priced at $1.49 and October is at $5.00, suggesting traders are pricing in a 1.2% move into September expiration on Friday.

September 48 straddles are priced at $0.61, suggesting less than a 1% price movement into Friday expiration on the PowerShares QQQ Trust (QQQQ) . QQQQ closed up $0.30, at $47.75. QQQQ October put option implied volatility is at 21, November is at 24 and December is at 25 versus its three-month average of 26, indicating decreasing near-term price movement. 254,000 QQQQ put option contracts traded as compared to 192,000 calls, with October 45 puts active on 26,000 contracts.

The following economic data are due out Thursday: Producer Price Index 8:30 a.m. EDT, Jobless Claims 8:30 a.m. EDT, Current Account 8:30 a.m. EDT, Treasury International Capital 9 a.m. EDT, Philadelphia Fed Survey 10 a.m. EDT, EIA Natural Gas Report 10:30 a.m. EDT. There are a handful of notable companies reporting: Pier 1 Imports (PIR) - Get n.a. Report, FedEx (FDX) - Get FedEx Corporation Report, Research in Motion (RIMM) and Oracle (ORCL) - Get Oracle Corporation Report.

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