VIX Swings Widen Versus S&P 500 as Barclays Sees ETN Link
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The Chicago Board Options Exchange Volatility Index is posting bigger swings relative to the equity gauge it’s derived from, amplifying the sense of panic when stocks lurch like they did three weeks ago.
The VIX, used for two decades to measure investor fear, has jumped an average of 30 percent on days when the Standard & Poor’s 500 Index lost 1.75 percent or more since the start of 2013, according to data compiled by Bloomberg. The ratio is wider than in any year since 1990, when data for the volatility benchmark began. The VIX rose 32 percent on Jan. 24, the biggest increase in nine months as concern about emerging-market growth sent the S&P 500 down 2.1 percent.