Jan. 4, 2013 – The CBOE Volatility Index® (VIX®) closed at 13.83 today and was down a record 39.1% this week as the U.S. Congress approved legislation to address the fiscal cliff uncertainties.
VIX – BIGGEST 1-WEEK MOVES SINCE ITS INCEPTION IN JAN. 1990
Here is a list of the weeks when VIX had its 5 biggest down moves and its 5 biggest up moves (in % terms) since the inception of its data history in 1990 —
% Change Week Ending
- -39.1% 04-Jan-2012 (After “fiscal cliff” resolution)
- -30.9% 24-Aug-2007
- -28.4% 15-Mar-1991 (Gulf War)
- -26.7% 25-Mar-2011
- -25.2% 28-Sep-2001 (After 9/11)
- 52.5% 22-Jan-2010
- 53.4% 4-Feb-1994
- 55.0% 10-Oct-2008 (Financial crisis)
- 75.9% 2-Mar-2007
- 85.7% 7-May-2010 (Flash crash)
VXO INDEX – BIGGEST 1-WEEK MOVES FROM 1986 THROUGH 1989
In addition to the VIX Index, CBOE also offer an index designed to track the expected volatility of S&P 100 Index – the CBOE S&P 100 Volatility Index (VXO). www.cboe.com/VXO. The biggest 1- week % up- and down moves for the VXO Index prior to 1990 were up 171.7% the week ending 23-Oct-1987, and down 37.9% the following week that ended 30-Oct-1987.
TWO RECORD VOLUME DAYS FOR VIX FUTURES
As investors adjusted their risk tolerances in light of the news on fiscal negotiations, VIX futures had all-time record volume days on both Dec. 31st (212,800 contracts) and on Jan. 1st (221,323 contracts).
Here is a recent one-week price chart on VIX (this is updated on trading days at www.cboe.com/VIX) —
RECORD VOLUME FOR VIX OPTIONS AND FUTURES IN 2012
VIX options avg. daily volume in 2012 was a record 442,959 contacts (up 14% over the 2011 figure). www.cboe.com/VIX
VIX futures avg. daily volume in 2012 was 95,143 contacts (up 99% over the 2011 figure). www.cboe.com/VIX
MORE INFORMATION ON VIX AND RISK MANAGEMENT
To learn more about use of VIX options and futures for risk management, please visit www.cboe.com/VIX