10 Best Days Ever for the VIX ETN

Published on by on September 17, 2014

Barclays’ S&P 500 VIX Short-Term Futures ETN (VXX) was one of the first funds to offer investors access to the CBOE Volatility Index, also known as the “Fear Index.” Because the VIX tracks the implied volatility of the S&P 500, traders and investors alike use the index as a way to gauge the overall level of uncertainty in the markets. As such, the VIX ETN has also become a popular and useful tool, making it one of the most heavily traded exchange-traded funds.

In this piece, we’ll take a look at some of VXX’s most active sessions, highlighting the fund’s 10 best single trading days [see also The Complete History of the VIX and VXX]. 

VXX Up 17.15%

8-18-2011

On August 18, 2011, equity markets plummeted after Morgan Stanley released a dismal forecast for global economic growth. In addition, U.S. housing and manufacturing data came in worse than expected, causing investors to flee towards safe haven assets. As a result, the VIX popped 35% during that session, while VXX jumped over 17%.

VXX Up 16.65%

8-4-2011

On August 4, 2011 the Dow logged in its worst session since the 2008 crisis, plunging 512 on the day. All three major indexes had tumbled more than 4% during the session after Japanese and European policymakers announced new stimulus measures. During the session, the VIX surged over 35%. 

VXX Up 15.87%

11-9-2011

On November 9, 2011, U.S. equity markets took a steep plunge after Italy’s 10-year bond yield surged above 7%; its highest level since 1999. Investors’ fears worsened after European Union officials announced that they had no plans to rescue the region’s fourth-largest economy. As a result, the VIX spiked 32% during the session, while 10-year U.S. Treasury yields fell below 2%. 

VXX Up 12.85%

8-8-2011

On August 8, 2011, Standard & Poor’s announced that it had downgraded its rating on the United States, forcing the country to lose its coveted AAA rating. As a result, the Dow closed below 11,000 for the first time since November of 2010, while other U.S. stock indexes shed between 5% and 7% during the session. During a speech that day, President Obama sought to reassure the public, stating “The markets continue to reaffirm our credit as among the world’s safest. Our challenge is the need to tackle our deficits over the long term. But here’s the good news. Our problems are emminently solvable. And we know what we have to do to solve them.”

VXX Up 12.65%

11-1-2011

On November 1, 2011, global equity markets tumbled on rising eurozone fears. Greek Prime Minister George Papandreou surprised investors that day, stating that he would put Greece’s participation in the previous week’s European debt plan to a voter referendum. The announcement caused investor fears to spike, since many worried that a public vote would jeopordize the rescue plan. As a result, the VIX jumped 19% during the session. 

VXX Up 12.39%

5-20-2010

On May 20, 2010, the Dow, Nasdaq and S&P took a steep hit, losing enough to put the indexes into correction territory. Equities had slumped during the morning hours, then in the afternoon, selling had intensified after the Senate cleared a “Wall Street” reform bill. Consequently, the VIX rose 30% on the day. 

VXX Up 12.05%

2-25-2013

On February 25, 2013, the Dow and S&P 500 logged in their worst trading day of the year, falling 1.5% and 1.8%, respectively. While there was nothing specific to spur the sell off, many analysts blamed rising eurozone debt crisis fears, while others believed the market was due for a pullback after equities started trading at all-time highs earlier in February. During the session, the VIX surged 32%.

VXX Up 11.12%

8-10-2011

On August 10, 2011, U.S. equity markets tumbled once again on eurozone fears. The Dow fell 4.6% during the session, after investors feared France would be next to lose its coveted AAA credit rating (this came a few days after the S&P downgraded the U.S.). In addition, investors turned their attention to Bank of America, after it tried to reassure investors that conditions at the bank and in the country are in much better shape in comparison to the financial crisis. Ignoring the bank, investors’ uncertainty intensified, causing the VIX to pop 22%. 

VXX Up 10.81%

2-22-2011

On February 22, 2011, the S&P 500 sank 2.1% as investors turned their attention to the escalating political crisis in Libya. All three indexes had logged in their biggest one-day decline of the year; meanwhile, oil prices had skyrocketed due to the crisis in the Middle East. In addition, investor fears heightened after a report showed national home prices falling more than 4.1 during the fourth quarter of 4.1%. During the session, the VIX jumped nearly 30%.  

VXX Up 10.70%

5-7-2010

On May 7 , 2010, Wall Street was in for one of the most volatile sessions of the year, with all three major indexes ending in negative territory. The session was so volatile that the Nasdaq canceled trades on 296 stocks that saw their prices fluctuate by at least 60% between 2 PM and 3 PM ET during the session. Consequently, the VIX spiked 26% during the session, closing at a new 13-month high. 

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Disclosure: No positions at time of writing.