Vix spike in August not driven by actual volatility – BIS
Latest bulletin explains how widening bid-ask spreads drove up the index
The spike in the Cboe volatility index (Vix) during August’s market turmoil was not due to a fundamental rise in volatility, a Bank for International Settlements (BIS) bulletin has argued.
The bulletin, published on October 29, says the asymmetric widening of bid-ask spreads played a key role in exacerbating the Vix spike in August.
Shortly before markets opened on August 5, the Vix reached a peak comparable to the levels in the 2008 financial crisis and Covid-19. Whereas the two past Vix peaks
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