U.S. VIX equity volatility jumped 7% to 16.70
U.S. VIX equity volatility jumped 7% to 16.70 thanks to the downdraft on stocks, compared to a session range of 15.16-16.92, after probing settlement highs of 16.90 yesterday. Concerns about rigging the VIX in futures settlement resurfaced with a Bloomberg report detailing suspicious price action yesterday after it jumped about 11% in an hour, coinciding with a CBOE auction settlement amid record speculative net-long positions on VIX futures. This followed an academic report by U. of Texas researchers who cited evidence of gaming, though the exchanges have suggested that such volume surges are a natural byproduct of traders swapping VIX futures with options at the time. Outside of this monthly ritual, the March 9 low of 13.31 remains the floor since the XIV implosion high of 50.30 on February 6, with a 2-month range top of 26.22.