Things are moving faster than I can type this morning, but here’s a quick update and some perspective on the overnight VIX action in response to Britain voting to exit the EU. Global stock futures are lower and we all know that results in higher volatility. The curve made a pretty dramatic shift with VIX rising over 40%.
The table above only shows the monthly contracts, but it is worth noting that the VIX Weekly Futures contract expiring next Wednesday was up about 40% to 22.50 when I last checked. Finally, since we will be all about the biggest move in context, the table below shows the ten biggest one-day percent moves for VIX using the 6:30 am price for today. So far the VIX move would be the 7th biggest on record, but the day is still young.
Looking back a few extra hours it is worth noting that on Thursday VIX dropped 18.52% to finish the day at 17.25. This was actually the 15th biggest drop on record for VIX.