U.S. options prices swung between gains and losses after a report showing faster-than-expected job growth failed to eliminate speculation that the world’s largest economy could slip into recession.
The VIX, as the Chicago Board Options Exchange Volatility Index is known, fell 1.2 percent to 31.29 at 10:37 a.m. in New York.
The benchmark gauge for U.S. stock options fell as much as 13 percent after a U.S. report showed payrolls rose by 117,000 workers in July, the Labor Department said, beating the 85,000 median economist estimate. The jobless rate dropped to 9.1 percent as more Americans left the labor force. The VIX then rose as much as 3.2 percent.
“Risk is going crazy, blowing up completely,” said Daniel Hawkins, director and founder of Mariana Capital Markets Ltd., a London-based brokerage firm specializing in equity derivatives in a telephone interview. “People are very scared of what’s going on. Everyone is trying to buy protection in the options market. It feels like 2008.”
The VIX jumped 35 percent yesterday, the most since February 2007, as investors scrambled to buy protection against greater stock-market losses as worsening economic data sent stocks to the largest losing streak since the bull market began. It closed at 31.66, the highest level since July 2010.
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