2024-11-10-国际清算银行-2024年8月VIX尖峰的解剖（英）_8页_739kb

• VIX Spike on August 5, 2024: The Cboe Volatility Index (VIX) recorded its largest one-day increase ever, rising by 180% to nearly 66, during a period of market uncertainty driven by labor market news and central bank actions.

• Key Cause: The spike was primarily due to asymmetry in bid-ask spreads widened by market makers to avoid order imbalances, particularly affecting out-of-the-money (OTM) put options, which constitute a high weight in VIX calculation due to their squared strike weighting.

• Other Factors Minimal Role: Exchange-traded funds (ETFs), market makers' option hedging, and dispersion trades contributed little to the spike, as their influence or activity was not significant compared to spread widening.

• Implications for VIX: The spike highlights that VIX, based on quotes rather than trades and vulnerable to illiquidity, may provide less reliable pre-market readings; intraday trading is more informative due to higher liquidity.

This summary captures the main findings, stressing that technical factors like quote adjustments exacerbated the event, with low liquidity and asymmetric spread effects playing central roles.