Anatomy of the VIX spike in August 2024
BIS Bulletin
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No
95
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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.