VIX® Index Attribution of Notable Tail Events

This page examines the impact of notable tail events on the Cboe Volatility Index (VIX® Index). See a detailed analysis of volatility catalysts and how the VIX Index responded below.

Volatility Catalyst: 9/11 Attacks

Background: The markets reopened after a four-day closure following the 9/11 attacks. When trading resumed, investors reacted to ongoing geopolitical unknowns, risks to national security and questions over economic fallout. In response to the 6.03% S&P 500 Index decline, the Cboe Volatility Index (VIX® Index) increased 11.07 points from 33.87 to 44.94.

Volatility Catalyst: Global Financial Crisis

Background: On October 22, 2008, turmoil in the global financial system — fueled by the ongoing credit crunch, investor panic after the Lehman collapse and deepening worries over bank solvency — triggered a sharp stock market sell‑off. Banks were hoarding capital and interbank lending dried up after Lehman’s collapse in mid-September, freezing credit flows. While the $700 billion Troubled Asset Relief Program (TARP) passed in early October, markets feared it wouldn’t be enough. Ongoing wavering over future rescue measures made systemic risk look far from contained. In response to the 5.7% S&P 500 Index decline, the VIX Index increased 16.54 points from 53.11 to 69.65.

Volatility Catalyst: Flash Crash

Background: On May 6, 2010, the S&P 500 Index declined nearly 9% intraday due to a large automated sell order that triggered a cascade of high-frequency trading and liquidity withdrawal. In response to the 3.2% close-to-close S&P 500 Index decline, the VIX Index increased 7.89 points from 24.91 to 32.80.

Volatility Catalyst: U.S. Debt Downgrade

Background: On August 8, 2011, the S&P 500 Index declined 6.7% due to S&P Global’s decision to downgrade the U.S. credit rating from AAA to AA+ amid worries over both the debt-ceiling impasse and global economic weakness. In response, the VIX Index increased 16 points from 32 to 48.

Volatility Catalyst: Taper Tantrum

Background: On June 20, 2013, Federal Reserve Chair Ben Bernanke suggested worsening enough economic improvement could prompt a slowdown, or taper, in the Federal Reserve's $85 billion-per-month bond-buying program later in 2013. The S&P 500 Index declined 2.5% due to the looming prospect of higher interest rates. In response, the VIX Index increased +3.9 points from 16.6 to 20.5.

Volatility Catalyst: China Stock Market Crash

Background: On August 24, 2015, Chinese growth slowed down with steep market declines and an 8% drop in its Shanghai Composite. The S&P 500 Index declined 3.9% on prospects of a global economic slowdown. In response, the VIX Index increased 12.7 points from 28 to 40.7.

Volatility Catalyst: Brexit

Background: On June 24, 2016, the unexpected “Leave” outcome in the immediate aftermath of the Brexit referendum triggered a 3.6% S&P 500 Index decline. In response, the VIX Index rose 8.5 points from 17.3 to 25.8.

Volatility Catalyst: Covid-19 Pandemic

Background: On March 16, 2020, the S&P 500 Index declined 12% and tripped exchange circuit breakers on the rapid spread of the novel coronavirus, which prompted lockdowns and economic shutdowns worldwide. In response, the VIX Index increased 24.9 points from 57.8 to 82.7.

Volatility Catalyst: Post-Covid Economic Growth Disappointment

Background: On January 27, 2021, the S&P 500 Index declined 3.3% on underwhelming growth data with fourth-quarter 2020 GDP growth coming at 4.0% compared to the 4.2% consensus. The Federal Reserve's dovish stance, signs of slowing retail sales and consumer spending heightened concerns about the prolonged impact of COVID-19. In response, the VIX Index increased 14.2 points from 23 to 37.2.

Volatility Catalyst: Inflation Fears

Background: On September 13, 2022, the S&P 500 Index declined 4.3% on core inflation rising double the forecasted amount of 0.3%. This inflation surprise rattled investors, renewing concerns that the Federal Reserve would continue aggressive rate hikes. In response, the VIX Index rose 3.4 points from 23.9 to 27.3.

Volatility Catalyst: Yen-Carry Unwind

Background: On August 5, 2024, the S&P 500 Index declined 3.0% on the rapid unwinding of the yen carry trade. The Bank of Japan’s surprise rate hike strengthened the yen, forcing leveraged investors to sell U.S. stocks to convert back into yen and repay loans. In response, the VIX Index rose 15.2 points from 23.4 to 38.6.

Volatility Catalyst: Liberation Day

Background: On April 4, 2025, the S&P 500 Index declined 7% on escalating trade tensions with China retaliating against the U.S. with a 34% tariff on American goods, following President Trump’s aggressive tariff escalation on April 2. Market participants feared this would escalate into a prolonged trade war, causing the VIX Index to rise +23.8 points from 21.5 to 45.3.

Acknowledgements:

Special acknowledgement to Jeff Nguyen, Quantitative Researcher on the Cboe Data and Analytics team for his technical expertise in the co-development of the framework described in this report.

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