In a CBOE blog two days ago (on Jan, 28th) I wrote – “Will the CBOE Equity VIX® on Amazon (VXAZN) experience a one-day drop of more than 30% this week?”
Today (Jan. 30th) the VXAZN Index experienced a record one-day fall of 37.5%.
Below are the six days in which the VXAZN Index had changes (up or down) of more than 27%; it is interesting to note that all five of the down days were the day after AMZN earnings announcements.
- 30-Jan-2013 -37.5%
- 26-Oct-2012 -36.1%
- 1-Feb-2012 -36.0%
- 27-Jul-2012 -31.3%
- 27-Apr-2012 -27.0%
- 26-Dec-2012 32.0%
Below are one-week and one-year charts for VXAZN —