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Monday's Strange $VIX9D Behavior Explained

By Lawrence G. McMillan

It turns out that the strange behavior in $VIX9D on Monday, when it was down –4.85 while $VIX and other CBOE Volatility Indices, as well as $SPX, were relatively unchanged was due to a computer malfunction at the CBOE. Yesterday morning, when the market was still rather stable, $VIX9D was up almost 4 points, with $VIX again relatively unchanged; the computer error had been corrected. I don’t know if there well be an updating of the Monday prices for $VIX9D, but probably not. So, anyone using $VIX9D as an indicator or as part of a trading system should be aware that Monday’s prices were erroneous...

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