(Bloomberg) — In a day full of rare moves, S&P 500 options volatility spiked higher than the Nasdaq 100 for the first time since the Covid pandemic.
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The Cboe Volatility Index, or VIX, jumped to 38.57 Monday, 1.1 times the level of the VXN, a similar measure for the Nasdaq 100. The last time it happened was in 2020, and to Citigroup’s Stuart Kaiser it’s a crisis-type dynamic.
The VIX was also 10 points higher intraday than supported by market internals, according to Citigroup, and closed 6 points above the bank’s fair value estimate based on S&P 500 returns and realized volatility and the VVIX, which measures VIX volatility.
The VXN rose sharply last week so it looks like a catch-up here, said Chris Murphy, co-head of derivatives strategy at Susquehanna International Group. The VIX is also the last place where there is typically still liquidity, so when it spikes more than everything else it typically…
