In February 2018, SPVXSPIT (S&P 500 VIX Short Term Futures Inverse Daily Index) seems to have dropped about 95%, but after much googling, there does not seem to be any discussion about this.

The index is a highly volatile index designed to short volatility (VIX), so I would guess the drop is related to some massive increase in volatility. I'm not sure what the increase would be though. In the past 10 years, it doesn't seem to have dropped more than 60% at any point. Dropping 95% is similar to dropping 60% 3 times in a row. What is the reason for this?

1 Answer 1


Since the index was shorting VIX, and volatility was very low at the time, volatility nearly doubled, cutting the short to close to zero. Well explained in this article:

By the end of the Monday’s trading, as VIX futures rose by a total 96%, the value of the futures which our investor was short rose from $100 to $196. The $96 increase in the VIX futures position necessitates an equal and opposite decline in the value of our investor’s position: from $100 down to $4.

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