The CBOE Volatility Index jumped Friday to levels not seen since December 2011, logging its largest ever weekly percentage jump as stocks sold off for a fourth straight session. The VIX, or so called “fear index,” surged more than 47% to 28.21 right after the close. For the week, the index is up nearly 120%, making it the largest weekly percentage jump in the VIX’s history, according to FactSet data. The previous largest surge was back in early May 2010, when the VIX jumped nearly 86% on the week. For the week, the Dow Jones Industrial Average and S&P 500 Index both dropped 5.8%, and the Nasdaq Composite Index fell 6.8%.
The CBOE Volatility Index, known as the VIX, has doubled in August. If it finishes the month here, it would log the largest monthly gain ever (using data going back 1990). That beats out the 91 percent advance seen in September 2008.
VIX is … a popular measure of the implied volatility of S&P 500 index options. Often referred to as the fear index or the fear gauge, it represents one measure of the market’s expectation of stock market volatility over the next 30 day period.