In the final week of September, the Chicago Board Options Exchange's Vix index, which measures the market's expectation of 30-day volatility on S&P 500 index option prices, was trading at a level comfortably below 20%.

Assuming the efficiency of markets, it appears that traders' assessment of near-term volatility had eased dramatically from August 16, when the Vix touched 37.5%, its highest intra-day level since October 2002.

For many equity derivatives dealers, the initial surge in volatility

To continue reading...

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: