Chinese crash: Volatility “fear” indices Vix and VStoxx are peaking well above historical averages

European markets may be more buoyant today, but if the fear indices are anything to go by, there is still plenty of unrest among investors. 

 

The US' Vix index – which measures the market's expectation of 30-day volatility on the S&P 500, as implied by the prices of near-term options – has leaped on the back of the turmoil, peaking at 53.3 points, before settling at 40.7 points. 

 

The day before it closed up 46.45 per cent at 28.03 points having opened up 22.55. Before that, the index leaped 16 per cent to 22.19 on the back of fears over China's slowdown. 

 

The Vix's historical average dating back as far as 1990 is 20 points.

 

Spooked investors also appear to be driving Europe's equivalent the VStoxx from a 13-point low in July to a high of 41 points yesterday. 

 

It has fallen back somewhat today, hovvering around the 34 and 35-point mark, although this is also well above its usual level.