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Fear Factor: VIX Has Second-Biggest Jump Of The Year

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In a research piece published Thursday, 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 to $19.14, or 25.51 percent, as stocks dropped over 2 percent. This marks the highest close in the VIX since July 9, when it closed at $19.97. The only previous instance of a bigger single day jump in the VIX this year was on June 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 breakout above those levels could lead to a challenge of the yearly closing highs of $22.39 set on January 15, or even a further run to the yearly intra-day high of $23.43 set on January 16.

 

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