Executive Summary#

On February 5, 2018, the CBOE Volatility Index (VIX) experienced the largest single-day percentage increase in its history, spiking 115.6% from an intraday low near 17 to a closing value of 37.32, with after-hours indicative prints exceeding 50. This event, colloquially termed “Volmageddon,” annihilated approximately $6 billion in notional value across short-volatility exchange-traded products (ETPs) within hours and caused cascading dislocations in options spread pricing across the S&P 500 term structure.