With persistent concerns over Europe's sovereign debt crisis and sluggish economic growth in the United States, cautious investor continue to seek protection through options..

In an unusual move, the CBOE Volatility Index <.VIX>, Wall Street's favorite measure of investor anxiety known as the VIX, was up for most of Friday's trading session, even though the Standard & Poor's 500 Index <.SPX> also rose.

The VIX, which essentially measures the cost of insuring equity portfolios, ended down 0.24 percent to 41.25, but remains at high levels in a sign of worry about markets.

Investors concerned about more selling have responded by buying S&P 500 puts, mostly in the weekly options, VIX futures and VIX options, notably calls, said Chris McKhann, an analyst at Chicago-based website optionMonster.com.

Expectations are that the VIX will stay high at least through the end of the year, he said.

Investors are starting to consider the prospect of Greece defaulting on its debt, which could damage banks with heavy exposure to the country. European policymakers showed signs they were preparing new steps to cope with the region's debt crisis as talk of a Greek default gained pace.

Those concerns -- and the possibility of market-moving events on the weekend -- have fed the desire to put in hedges.

There are so many unknowns, including the European debt crisis as well as any announcement that may come out of our own government, said TD Ameritrade's chief derivatives strategist, J.J. Kinahan.

Considering the amazing velocity move the VIX has had this week, the fact it is hanging in so well today going into a weekend shows that investors still want to have protection in place, Kinahan said.

The VIX is a 30-day risk forecast of stock market volatility conveyed by S&P 500 index options; it generally moves inversely to the S&P benchmark.

Underscoring the recent rise in volatility, CBOE Holdings Inc on Friday raised margin requirements for futures contracts on the Volatility Index to $10,600, more than triple the amount in early August. It was the fourth hike in margins for the contracts traded on the CBOE Futures Exchange since August 5, according to the company's website.

Separately, the CBOE Futures Exchange extended the opening time for VIX futures contracts to 8 a.m. EDT from 8:20 a.m EDT, effective Monday, pending U.S. regulatory approval. The 4:15 p.m. EDT close remains unchanged.

The earlier opening gives market participants more time to establish or offset VIX futures positions surrounding potential market-moving events -- overnight news, banking actions or key economic reports -- before the general market opens, CFE said.

(Reporting by Doris Frankel; Editing by Leslie Adler)