VIX – Record “Cliff” Dive (Down 39.1%) and Record Volume

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).

VIX – ONE-WEEK PRICE CHART

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

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

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