Volatility Pros Say Record VIX Surge on Monday Was a Head Fake

Most Read from BloombergThat’s the theory now bouncing around on Wall Street, after a frantic week in which the Cboe Volatility Index staged its biggest intraday jump on record. The argument reflects the fact that the VIX itself isn’t actually traded, it’s a mathematical quantity derived from the price of options on the S&P 500 Index. The S&P 500 has gained in three sessions since, with investors continuing to pour money into equity-focused exchange-traded funds. Consider one such option: a S&P 500 put contract that expires Aug. 30 with a strike price at 4,470. That suggests dispersion traders contributed to the volatility spike, according to Asym’s Fishman.