Options Indicate 3% S&P 500 Retreat as VIX Advances

Traders are speculating the Standard & Poor’s 500 Index will fall as much as 3 percent, according to options bets on the benchmark gauge for stock market volatility during the last two days.

Wagers that the Chicago Board Options Exchange Volatility Index will jump 46 percent to 32.5 were the most-active contract, data compiled by Bloomberg show. A surge to that level may herald a decline to about 1082 for the S&P 500, said Randy Frederick, director of trading and derivatives at Charles Schwab & Co. The stock gauge slipped 2.9 percent to 1,116.48 since Jan. 20, while the VIX advanced 27 percent to 22.27, the biggest two- day gain since November 2008. (more)