(Bloomberg) --
A measure of fear in U.S. stocks surged to the highest since 2009, surpassing last week’s peak as an emergency move by the Federal Reserve to ease policy did little to calm markets on edge over the spreading coronavirus.
The generic front-month futures contract for the CBOE Volatility Index jumped as high as 57.9 on Monday. The gauge measures traders’ expectations for where the VIX will trade a month from now. Meanwhile, the VIX futures contract expiring on Wednesday surged to a historic 70.6.
Wall Street’s fear barometer, which tracks the 30-day implied volatility of the S&P 500 based on out-of-the-money options prices, wasn’t quoted as of 8:14 a.m. New York time. A notice on Cboe’s website said the opening for S&P 500 and VIX products has been delayed.
Monday’s surge sent VIX futures beyond their highs of last week, which included several limit-down pauses to U.S. stocks and the S&P 500’s biggest tumble since the crash on Black Monday in 1987.
Following Friday’s huge rebound in stocks, futures on the S&P 500 have hit trading limits with a decline of almost 5%. Benchmark Treasury yields retreated more than 30 basis points at one point, as coordinated action by central banks appeared to do little to stem the bleeding.
To contact the reporter on this story: Yakob Peterseil in London at ypeterseil@bloomberg.net
To contact the editors responsible for this story: Sam Potter at spotter33@bloomberg.net, Sid Verma
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