VIX This Week – Record Cliff Dive (Down 39.1%) and Record Futures Volume Days

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)

-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  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

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