Nov. 13 (Bloomberg) -- The Chicago Board Options Exchange
Volatility Index climbed to its highest level in a year compared
with futures, a sign demand for protection against stock losses
is intensifying as the so-called fiscal cliff approaches.
The volatility gauge known as the VIX jumped 16 percent
since its Oct. 5 low to 16.68 yesterday and reached the highest
level since September 2011 relative to VIX one-month futures
last week, data compiled by Bloomberg show. The index that
tracks Standard & Poor’s 500 Index options prices slipped 29
percent this year as American shares gained the most since 2009.
President Barack Obama’s victory has spurred the biggest
swing in equity prices this year on concern his re-election sets
up a budget showdown with the Republican-controlled House.
Congress is scheduled to begin meeting today in an attempt to
reach a deal to prevent $607 billion of spending reductions and
tax increases that take effect automatically next year.
“Reality has set into the market,” Scott Maidel, who
helps oversee $152 billion as a money manager for equity
derivatives at Russell Investments in Seattle, said yesterday in
an interview. “Earnings, employment, Europe, the election and
now the fiscal cliff have weighed on favorable Fed policy and
rosy earnings seen earlier this year.”
About $1 trillion was erased from global equity values in
the two days after Obama prevailed over Mitt Romney, helping
push the S&P 500 down 5.9 percent from its five-year high on
Sept. 14. The decline has trimmed the 2012 increase in the gauge
to 9.7 percent, an advance that has been fueled by Federal
Reserve Chairman Ben S. Bernanke’s third round of asset
purchases to stimulate growth and 10 straight quarters of