Anatomy of the VIX Spike in August 2024

This BIS Bulletin explores the unprecedented spike in the Cboe Volatility Index (VIX) on August 5, 2024, which exceeded previous crises. The authors analyze the impact of bid-ask spreads and market maker behavior on VIX calculations, revealing that the spike was largely driven by less liquid put options. The findings suggest that VIX's methodology may be vulnerable to liquidity issues, raising questions about its reliability in volatile market conditions.