Yesterday - amid multiple options-based exchange "breakages", the VIX feed across various platforms appeared massively noisy. We assumed it would be cleaned up and brushed under the carpet in the new normal. Today, it is just as bad...it appears the plunge in stocks has been a catalyst for amplification of VIX pricing noise... so far no desks (or CBOE) have a reason for this.
Yesterday's various options-exchange breakages...
Close-up of ISE and Gemini Option exchange halt yesterday: pic.twitter.com/cK4KZx8Kh6 [6]
— Eric Scott Hunsader (@nanexllc) December 16, 2014 [7]
And VIX "noise" exploded...
Note the "before" and "after" as stocks began to collapse and the VIX noise got amplified.
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Click image for massive version
