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 www.cboe.com/VIX
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)
-28.4% 15-Mar-1991 (Gulf War)
-25.2% 28-Sep-2001 (After 9/11)
55.0% 10-Oct-2008 (Financial crisis)
85.7% 7-May-2010 (Flash crash)
VXO INDEX – BIGGEST 1-WEEK MOVES FROM 1986 THROUGH 1989 www.cboe.com/VXO
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
Below is a recent one-week price chart on 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