One-Day VIX’s Big Swings Have Traders Looking On in Bewilderment

One thing Matthew Tym has learned in two decades as a derivatives trader is to make sure he understands something before using it. That lesson is guiding his view of Wall Street’s brand-new fear gauge.

The Cboe 1-Day Volatility Index (ticker VIX1D) launched Monday as a way of distilling the price impact of a trading boom in options with a shelf life of less than 24 hours. But most market pros, like the head of equity derivatives trading at Cantor Fitzgerald LP, watched bemused from the sidelines as a series of big moves unfolded.

Watch: The CBOE launches a 1-day VIX.

Source: Bloomberg

It opened at 8.55, ...