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"Jan. 22 (Bloomberg) -- Traders are speculating the Standard & Poor’s 500 Index will fall as much as 3 percent, according to options bets on the benchmark gauge for stock market volatility during the last two days.
Wagers that the Chicago Board Options Exchange Volatility Index will jump 46 percent to 32.5 were the most-active contract. A surge to that level may herald a decline to about 1082 for the S&P 500, said Randy Frederick, director of trading and derivatives at Charles Schwab & Co. The stock gauge slipped 2.9 percent to 1,116.48 since Jan. 20, while the VIX advanced 27 percent to 22.27, the biggest two-day gain since November 2008.
“In the next few days, we’re going to see more volatility,” Frederick said in an interview from Austin, Texas. “The level of complacency earlier was simply too low. A single- day move from 25 to 30 on the VIX could easily mean a 3 percent drop in the market.”
Traders who buy options that pay off when the VIX rises are usually betting stocks will retreat because it moves in the opposite direction of the S&P 500 more than 80 percent of the time. The S&P 500 sank 2.8 percent on Oct. 30, when the VIX last climbed above 30. It retreated 2.1 percent and 2.8 percent when the options measure exceeded that level on July 7 and 8 and June 22 and 23, respectively.
The VIX is derived from investor expectations for market swings over the next 30 days using a formula that incorporates the implied volatility, a key gauge of options prices, for S&P 500 puts and calls that are one or two months from expiration. "
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