VIX Has Biggest 1-Day Jump of 2012; 6 Key Facts

Dec. 28, 2012 – Here is an update on 6 key facts about the VIX and related indexes and trading instruments –

(1)    Today (Friday) the CBOE Volatility Index® (VIX®) rose 16.7%, its biggest one-day up move (in percentage terms) since November 2011.  A key factor in the rise in the VIX is investor uncertainty about the year-end budget negotiations of U.S. lawmakers.

(2)    Today’s closing values (and point changes) for the VIX Index and select VIX futures include –

  • 22.72 (up 3.25) — VIX Index (spot)
  • 22.35 (up 3.25) — VIX Jan. ’13 futures
  • 21.92 (up 2.52) – VIX Feb. ’13 futures
  • 21.98 (up 1.88) – VIX Mar. ’13 futures
  • 24.41 (up 0.81) – VIX Sep. ’13 futures

The spot and Jan. numbers above appear to indicate that some traders do have some heightened anxiety about volatility and uncertainty over the next month, but the Feb. and Mar. numbers indicate that there could be less anxiety about volatility 3 months from now (and perhaps many anticipate that the U.S. budget negotiations will be finished by then).

If you would like to see delayed quotes on select VIX futures, please visit the VIX microsite at www.cboe.com/VIX and examine this table that is updated throughout trading days –

(3)    While the VIX is a measure of 30-day expected volatility, the CBOE S&P 500 3-Month Volatility Index (VXV) is designed to be a constant measure of 3-month implied volatility of the S&P 500 www.cboe.com/VXV.  In 2012 the daily closes of the VXV Index were (on average) about 2.8 points higher than the VIX Index. However, today the VIX close (22.72) was 0.82 higher than the VXV close (21.88).  The last time that the VIX close was more than 0.50 higher than the VXV close was in Nov. 2011.

(4)    The average daily closing price of the VIX in 2012 (through Dec. 28) was 17.8, the lowest such figure since 2007.

(5)    The CBOE’s VIX of VIX Index (VVIX) is an important measure of the expected volatility of the VIX www.cboe.com/VVIX.  Today the VVIX Index closed at 104.72, its highest daily closing value since July 25, 2012.

(6)    VIX futures and options both have experienced record trading volumes in 2012. In November 2012 the average daily volume (A.D.V.) in VIX futures reached a new record of 130,202 contracts, an increase of 233 percent over the 39,144 contracts per day November 2011, and up 12 percent versus the A.D.V. of 116,375 contracts in October 2012.

To learn more about VIX and related indexes and trading instruments, please visit www.cboe.com/VIX

The posts on this blog are opinions, not advice.
Please read our disclaimer for Indices.

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