国际清算银行：2024年8月VIX尖峰的解剖报告（英文版）

On 5 August 2024, the Cboe volatility index (VIX) derived from option prices on the S&P 500 recorded its biggest ever one-day spike, increasing by 180% to almost 66 pre-market (ie before the US market open). In this Bulletin, we delve into this episode for clues to the possible reasons for the spike. Our analysis indicates that the asymmetric widening of bid-ask spreads likely played a key role in exacerbating the spike, as it lifted mid-quotes of option prices used in the calculation of VIX. Ma