Not surprisingly, the VIX has increased this week with the fall in equities. What is remarkable, however, is the extent to which it has risen from Tue to Fri: +9.73 points (+55.3%) from 17.58 to 27.31. Also, Friday closed above the rolling 200 day average. To put this in context, the five year (2005-09) average is 21.6, and in the years prior to 2008, during which the VIX spiked to over 80, the average was ~15. The underlying for the VIX, the S&P500, this week has fallen 58.47 points (-5.1%) from 1150.23 to 1091.76.
Needless to say, fear is back in the market and the relative cost to protect against downside volatility has risen accordingly, if not exponentially.
Source: Chicago Board Options Exchange
Needless to say, fear is back in the market and the relative cost to protect against downside volatility has risen accordingly, if not exponentially.
Source: Chicago Board Options Exchange