Indeks VIX – zabezpieczenie czy zagrożenie? Konsekwencje finansjalizacji „wskaźnika strachu”
VIX – Hedge or Threat? The Consequences of the Financialization of the ‘Fear Index’

Summary/Abstract: VIX is a popular index used by financial analysts and economists to measure the level of ‘fear’ among investors. The aim of the paper is to show that the information function of this index has been distorted because the use on a large scale of the strategy to sell volatility can lead to strong fluctuations of the index which are unrelated do the fundamental situation. In particular, the authors analyse the impact of ETN instruments addressed to retail investors; their construction can result in undermining the information value of VIX quotations, which in turn endangers the stability of the financial system. The authors present a case study regarding the events of 5 February 2018, with the biggest one-day rise of the VIX in the history. The analysis shows that this shock was caused by the forced transactions made by ETN issuers on the futures market for VIX. It turned out that changes on this relatively small market can have significant consequences for the whole asset market, and even for the real sphere. When analyzing VIX quotations one should remember that its level is affected by supply and demand forces in the derivatives’ market, which may be temporarily disturbed by various anomalies, such a sudden lack of liquidity.

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