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Five Largest Single Day Drops in VIX History

Earlier we looked at the five biggest jumps in VIX history, which as a quick recap is an index that measures the implied volatility of S&P 500 index options and is used to give an indication of overall volatility in the market. Typically, big jumps in the VIX have occurred when significant events have occurred within the market (such as tightening of regulations to help quell speculation in China) or big geopolitical events.

But what type of situations displace risk in the broader markets and send the VIX and implied volatility down. 

First, here are the five biggest single day drops in the VIX:

DatePrevious CloseClose% ChangePrice Change
5/10/2010 40.95 28.84 -29.57% -12.11
8/9/2011 48.00 35.06 -26.96% -12.94
6/15/2006 21.46 15.9 -25.91% -5.56
10/20/2008 70.33 52.97 -24.68% -17.36
04/05/1994 23.87 18.13 -24.05% -5.74

The biggest drop in the VIX occurred on May 10, 2010 when the VIX dropped 29.57% from 40.95 to 28.84. The drop happened just days after the Flash Crash of 2010 (May 6, 2010) in which the Dow Jones Industrial Index plunged as much as 998.5 points, which was equivalent to roughly $1 trillion in market cap before rebounding. This event helped to spike the VIX on the volatility.

As the market tried to understand the source for the crash and things settled down over the subsequent days, including a big bailout package in Europe, the markets started to recover including a 4.3% jump in the S&P 500 on the May 10, which also saw the biggest drop in the VIX.

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