The Cboe Volatility Index surged to the highest since 2008 on Monday as a plunge in oil prices frazzled traders already on edge over the coronavirus.
The VIX, which measures the 30-day implied volatility of the S&P 500 based on out-of-the-money options prices, jumped as high as 62, its highest level since December 2008 on an intraday basis.
The S&P 500 fell 7% at the open, triggering a trading halt the New York Stock Exchange put in place after the 1987 Black Monday crash. Cboe didn’t start updating the VIX until around 9:50 a.m. New York time, after a delayed opening for S&P 500 products.
The VIX was already clocking eye-watering levels last week, as stocks were whipsawed by virus headlines. On Friday, it surpassed 50, a threshold last breached when the complex broke down in February 2018. While those moves may appear extreme, over the past 10 sessions, the S&P 500’s realized volatility is 63.
Alles wijst erop dat dit kwartaal zeker Q1 2018 zou moeten evenaren.