Where Volatility Goes to Die

Where Volatility Goes to Die

Greed, intrigue, and death are the stuff of detective novels, but there’s plenty in the more mundane mystery of two very different exchange-traded products that were at the center of the great volatility blowup on Monday.

As the Standard’s & Poor’s 500 index fell 4% on Monday, giving back this year’s gains in a single day, implied volatility—as measured by Cboe Volatility Index, or VIX, which tends to rise as stocks decline—spiked 115%, to 38. That was bad news for anyone betting that volatility would stay low, but worse…

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