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Five Biggest Single Day Jumps in VIX History

The VIX, which is more formally known as the CBOE Volatility Index, is a measure of implied volatility on S&P 500 index options. It is one of the main indicators used to gauge the volatility in the markets and is also known as a fear index due to its propensity to spike as the result of geopolitical events.

When a bull market is marching along with consistent up days, the VIX will often find itself in the 10-20 range. But a single event, such as major geopolitical event, can send the VIX skyrocketing.

We decided to take a look at the five biggest jumps (by percentage) the VIX has recorded since 1990.

DatePrevious CloseClose% ChangePrice Change
2/27/2007 11.15 18.31 64.22% 7.16
11/15/1991 13.96 21.18 51.72% 7.22
07/23/1990 15.63 23.68 51.50% 8.05
8/8/2011 32.00 48.00 50.00% 16.00
4/15/2013 12.06 17.27 43.20% 5.21

As can be seen in the above chart, the record for the largest percentage jump in the VIX in a single session occurred on February 27, 2007, which also coincided with a 3.5% drop in the S&P 500. The force behind this big move was issues in China including a big drop in stocks in the Chinese markets and the Chinese government raising interest rates to reduce speculations in the market.




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