Anatomy of the VIX spike in August 2024

BIS Bulletin  |  No 95  | 
29 October 2024
by Karamfil Todorov and Grigory Vilkov
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Key takeaways

  • On 5 August 2024, the Cboe volatility index (VIX) recorded its biggest ever one-day spike, exceeding even those during the 2008 financial crisis and the March 2020 episode.
  • Since VIX is based on quotes instead of trades, dealers' quote-setting behaviour and the widening of bid-ask spread, particularly for put options, contributed to the VIX spike.
  • VIX ETFs and dispersion trades were unlikely the main driver behind the spike.
The views expressed in this publication are those of the authors and not necessarily those of the BIS.