Traders Are Wagering the VIX Hits Triple Digits on Tuesday

(Bloomberg) -- Tail risk is catching a bid during this market meltdown, with the potential for volatility to ascend to heights never seen before.

The Cboe Volatility Index, also know as the “fear gauge,” hit 62.12 this morning, its highest level since the financial crisis. During 2008, this measure of the 30-day implied volatility of the S&P 500 derived from out of the money options rose to 89.53.

Some traders are steeling themselves for the possibility that the VIX index hits triple digits on Tuesday.

A VIX call option with a strike price of 100 that expires on March 10 changed hands at 10:25 a.m. New York Time at a price of $0.20. Less than five minutes later, 100 contracts were traded at a price of $0.15. This particular contract has no trading history prior to Friday, when it closed at $0.10.

To contact the reporter on this story: Luke Kawa in New York at lkawa@bloomberg.net

To contact the editors responsible for this story: Jeremy Herron at jherron8@bloomberg.net, Randall Jensen, Andrew Dunn

©2020 Bloomberg L.P.