Stock market’s “fear gauge” explodes to highest levels of this bull market
The VIX is near intraday levels it hasn’t sniffed since last year’s regional-banking crisis.
The VIX Index, a gauge of the implied volatility of the S&P 500 over the next month, is spiking as stocks tumble after the unemployment rate unexpectedly rose to 4.3% in July.
If the VIX holds around its current level of 29, this would mark its highest close since October 2022, when this this bull market started. So far, the VIX hasn’t yet exceeded 30.81, its highest intraday level during the 2023 US regional banking crisis.
The VIX is commonly called Wall Street’s “fear gauge” because when it takes the elevator up, the stock market is usually taking the elevator down, as is the case today.
Perhaps even more astounding than that is the move in the VVIX Index, which tracks the volatility of volatility. Think of it as VIXception. The VIX is based on option prices that give a guide on how much the S&P 500 is expected to move, and the VVIX is based on option prices that show how much traders think the VIX will move.
That metric has surged beyond 150, a more than 40-point jump. Dean Curnutt, founder of Macro Risk Advisors, flagged how unique this surge in VVIX is.
VVIX up 45... there are only two other days when it rose by more than 40... GME on 1/27/21 and XIV on 2/5/18. both of those nearly broke the SPX vol market.
— Alpha_Ex_LLC (@Alpha_Ex_LLC) August 2, 2024
