The benchmark index for U.S. stock options exceeded 80 for the first time in its 18-year history, driven higher by equities extending the biggest slide since 1987 on concern the economy will continue deteriorating. Europe's volatility benchmarks also jumped to records.
The VIX, as the Chicago Board Options Exchange Volatility Index is known, rose a third day, adding 9.6 percent to 75.92 at 12:50 p.m. in New York after climbing as high as 81.17. The index measures the cost of using options as insurance against declines in the Standard & Poor's 500 Index, which fell 0.6 percent. The stock benchmark earlier slid as much as 4.6 percent, extending a 9 percent plunge yesterday.
There's no historical context for the VIX at 80, said Dean Curnutt, president of Macro Risk Advisors LLC, a New York- based firm that advises institutional investors on derivatives strategy. ``Investors are scrambling for protection and it's driving up the price of options.''
The VXO Volatility Index, a predecessor to the VIX that reflects the price of options on the S&P 100, climbed 23 percent to 84.30. It jumped to 103.41 on Oct. 10. The old VIX set an intraday record of 172.79 a day after the October 1987 stock- market crash.
The VIX, as the Chicago Board Options Exchange Volatility Index is known, rose a third day, adding 9.6 percent to 75.92 at 12:50 p.m. in New York after climbing as high as 81.17. The index measures the cost of using options as insurance against declines in the Standard & Poor's 500 Index, which fell 0.6 percent. The stock benchmark earlier slid as much as 4.6 percent, extending a 9 percent plunge yesterday.
There's no historical context for the VIX at 80, said Dean Curnutt, president of Macro Risk Advisors LLC, a New York- based firm that advises institutional investors on derivatives strategy. ``Investors are scrambling for protection and it's driving up the price of options.''
The VXO Volatility Index, a predecessor to the VIX that reflects the price of options on the S&P 100, climbed 23 percent to 84.30. It jumped to 103.41 on Oct. 10. The old VIX set an intraday record of 172.79 a day after the October 1987 stock- market crash.
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