The benchmark index for U.S. stock options surged to the highest intraday level since March as weakening economic data sent stocks toward the worst losing streak since the bull market began.
The VIX, as the Chicago Board Options Exchange Volatility Index is known, jumped 26 percent to 29.56 at 3:33 p.m. in New York and earlier touched 29.61, the gauge’s highest level in 2011 on a closing basis. Also known as "The Fear Index," it measures the cost of using options as insurance against declines in the Standard & Poor’s 500 Index, which fell 4.1 percent and headed for the biggest nine-day drop since the March 2009 start of the bull market.
“It’s fear,” Luke Rahbari, a VIX options trader at Stutland Equities LLC in Chicago, said in a telephone interview. “There’s definitely a lot of uncertainty in the market, whether you want to talk about European banks, European sovereign debt, slowing growth in the U.S.”
Global stocks had their biggest one-day rout since March 2009. A measure of global equities fell 10 percent from this year’s high in May, entering its first correction in more than a year, amid concern about a recession. The MSCI All-Country World Index of stocks in developed and emerging markets slid 3.7 percent to 312.88, falling 13 percent from its May 2 high.
All VIX futures expiring this year rose above 23. September futures climbed 10 percent to 24.10, while November’s gained 7.9 percent to 23.90. The most-active VIX options were August 25 calls, followed by August 30 calls.
The S&P 500 moved in a 3.8 percent range between today’s intraday high and low, the widest range since a 20-minute rout on May 6, 2010, erased $862 billion from the value of U.S. shares before prices rebounded. Today’s swing is more than double the 1.59 percent average range in the past four weeks.
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