Anatomy of the VIX spike in August 2024

BIS Bulletin  |  No 95  | 
29 October 2024

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.