Fear Factor: VIX has Second Biggest Jump of the Year

In a research piece published today,

Delta Derivatives

notes the the CBOE Market Volatility Index, or VIX, saw the second largest percentage move of the year. The VIX measures the implied volatility of S&P 500 options, and is sometimes referred to as the Fear Gauge, since VIX tends to jump when stocks fall sharply. VIX rose 3.89 today to 19.14, or 25.51 percent, as stocks dropped over 2 percent. This marks the highest close in the VIX since 7/9, when it closed at 19.97. The only previous instance of a bigger single day jump in the VIX this year was on 6/29, with the VIX popping by 34.45 percent. In the note, Delta Derivatives points to 20 as a key level to watch on the VIX, which were the recent highs from the late June and early July time period. A break out above those levels could lead to a challenge of the yearly closing highs of 22.39 set on 1/15, or even a further run to the yearly intra-day high of 23.43 set on 1/16.