August 29, 2024 (NO COMMENTS)

Traders rushed to cover short volatility positions before the market opened on August 5

 

The US equity volatility market witnessed one of its wildest – and arguably weirdest – swings ever on August 5. The Cboe Volatility Index, a measure of the implied volatility of the S&P 500, surged 180% to an intraday high of 65.7 in pre-market trading that morning – the biggest one-day spike in its 30-year history – before retracing to 38.57 by the close. The initial explanation was that the market was responding to a combination of macro catalysts: worse-than-expected US jobs data, a surprise