VIX Has Its Biggest Two-Day Fall – 35.4%; Record Futures Volume

Jan. 2, 2013 – On the two most recent trading days of Dec. 31st and Jan. 2nd –

  • The CBOE Volatility Index® (VIX®) fell by 35.4%, the biggest-ever drop (in percentage terms) over two trading days for the VIX Index, which has historical data back to 1990; and
  • Futures on the VIX Index set new trading volume records on both days, with 212,800 contracts on Dec. 31st, and an estimated 221,323 contacts on Jan. 2nd.

Over the past six trading days the VIX has had a roller-coaster ride as investor sentiment shifted in regard to perceived prospects for a near-term solution to the U.S. fiscal cliff situation. Daily closing prices on the VIX went from 17.84 on Dec. 24th, to 22.72 on Dec. 28th, to 14.68 on Jan. 2nd.

VIX FUTURES PRICES

The table below shows the prices for the VIX Index and near-term VIX futures; the table is updated intraday at www.cboe.com/VIX. While the record VIX futures trading volume in recent days is driven by a variety of investors, it is probable that some investors have tried to go long the Jan. ’13 VIX futures at around 15.60, or the Feb. ’13 VIX futures at around 16.72, as a strategy to attempt to diversify their overall portfolios. To learn more about strategies to use VIX futures and options for diversification and risk management, please visit www.cboe.com/VIX.

PAPER

Links to a paper on “VIX Futures and Options – A Case Study of Portfolio Diversification During the 2008 Financial Crisis” (July 2009):    Two-page summary    Full report     Press Release

The posts on this blog are opinions, not advice.
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