VIX Up 12.6%, as 20 Vol Indexes Rose Today

Monday, July 23 — While many stock indexes plunged today, twenty of CBOE’s volatility indexes rose.  Visit www.cboe.com/volatility to see a list of indexes with updated delayed quotes.

Here is a list of percentage changes for some volatility indexes on July 23 -

• 12.6%       VIX® – CBOE Volatility Index®  www.cboe.com/VIX
• 6.3%         VVIX – CBOE VIX of VIX Index  www.cboe.com/VVIX
• 5.1%         OVX – CBOE Crude Oil ETF Volatility Index  www.cboe.com/OVX
• 8.0%         GVZ – CBOE Gold ETF Volatility Index www.cboe.com/GVZ
• 12.9%       VXEEM  - CBOE Emerging Markets ETF Volatility Index www.cboe.com/VXEEM
• 5.6%         VXSLV – CBOE Silver ETF Volatility Index  www.cboe.com/VXSLV
• 10.4%       VXFXI – CBOE China ETF Volatility Index  www.cboe.com/VXFXI
• 12.3%       VXEWZ – CBOE Brazil ETF Volatility Index www.cboe.com/VXEWZ
• 3.7%         VXAPL – CBOE Equity VIX® on Apple  www.cboe.com/VXAPL
• 8.2%         VXGOG – CBOE Equity VIX® on Google www.cboe.com/VXGOG

Today’s % changes for two of S&P’s VIX futures indexes were –

• 8.3%         S&P 500 VIX Short-term Futures Index (TR)
• 3.9%         S&P 500 VIX Mid-term Futures Index (TR)

COMPARING VIX SPOT AND VIX FUTURES

In a table at www.cboe.com/VIX on July 23^rd with delayed quotes, the VIX spot index rose 2.35 to 18.62, while the VIX Aug. futures rose 1.63 to 20.78. 

BIGGEST ONE–DAY VIX % MOVES OVER THE PAST YEAR

Below is a list of the 11 trading days over the past year (July 23, 2011 – July 23, 2012) on which the VIX Index had daily moves of more than 15% up or down.   Interestingly, the VIX had 10 up-moves of more than 15%, but only one down-move of over 15%.  Delayed quotes for VIX spot and futures prices are at www.cboe.com/VIX.

• 8-Aug-2011         50.0%
• 4-Aug-2011         35.4%
• 18-Aug-2011       35.1%
• 9-Nov-2011         31.6%
• 10-Aug-2011       22.6%
• 31-Oct-2011        22.1%
• 17-Oct-2011        18.2%
• 21-Jun-2012       16.5%
• 1-Nov-2011         16.1%
• 6-Mar-2012          15.6%
• 9-Aug-2011         -27.0%

LINKS TO ADDITIONAL INFORMATION

• Volatility indexes  www.cboe.com/volatility
• CBOE Volatility Index® (VIX®) (with put-call ratios, CFE, charts, bibliography, etc.)  www.cboe.com/VIX
• VIX Strategies        http://www.cboe.com/micro/volatility/strategies.aspx
• Papers on Income Enhancement and Tail Risk Management  www.cboe.com/benchmarks
• CBOE Risk Management Conference in Ireland – Sept. 5 – 7 2012 www.cboermc.com/Europe