By Jeff Kearns March 5 (Bloomberg) — The benchmark index for U.S. stock options fell to the lowest since May 2008 after payrolls declined less than forecast and a report said the European Union is developing a rescue plan for Greece. The VIX , as the Chicago Board Options Exchange Volatility Index is known, fell for an eighth day, sliding 6.9 percent to close at 17.42. The index measures the cost of using options as insurance against declines in the Standard & Poor’s 500 Index , which advanced 1.4 percent to 1,138.70. “Fear is receding from the market, which is just grinding higher,” said Jeremy Wien , a VIX options trader at Societe Generale SA in New York. “Economic data has been in line or better than expectations and the Greek situation seems to be less of a concern.” The S&P 500 has rallied 7.8 percent from a three-month low on Feb. 8 on easing concern that Greece may default on its debt and reports that bolstered confidence that the economic recovery won’t falter. The VIX tumbled 34 percent during the same period. VIX futures of every maturity also declined. April contracts lost 4 percent to 21.60, while June’s lost 2.3 percent to 23.05. The most-active VIX options were April 20 puts, which rose 44 percent to $1.15. The VIX has averaged 20.30 over its two-decade history. Options are derivatives that give the right to buy or sell assets at a set price by a specific date. Puts give owners the right to sell a security at a set price by a certain date. A government report today showed the country’s unemployment rate held at 9.7 percent in February as the nation lost 36,000 jobs. Economists on average had forecast a decrease of 68,000 and a gain in the unemployment rate to 9.8 percent, according to a Bloomberg survey. European Union nations are working on a contingency rescue plan for Greece to be funded by its member governments, according to two people briefed by an EU official. Luxembourg’s Jean-Claude Juncker said Greece “won’t be left alone” as it struggles to reduce its deficit. To contact the reporter on this story: Jeff Kearns in New York at jkearns3@bloomberg.net .
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VIX Tumbles to Lowest Level Since May 2008 as Jobs, Greece Outlook Improve
