As the domestic stock market rebounds just one day after recording its largest-ever drop on what was dubbed "Black Tuesday," the KOSPI 200 Volatility Index (VKOSPI), often referred to as the "Korean fear index," has soared to an all-time high.
According to the Korea Exchange, as of 9:11 a.m. today (June 24), the VKOSPI stood at 95.06, up 6.32% from the previous trading session.
The index reached an intraday high of 95.48.
This level far exceeds the 83.58 recorded on March 5 of this year, immediately following the outbreak of the war in Iran, and marks the highest point since the exchange began officially publishing the index on April 13, 2009.
However, based on VKOSPI data collected before the index was officially published, there is a record of it surging to an intraday high of 103.05 on October 29, 2008, during the global financial crisis.
The VKOSPI is an indicator that annualizes the expected volatility of the KOSPI 200 over the next 30 days, as reflected in the prices of KOSPI 200 options.
Since it calculates the volatility of the KOSPI 200 with a 30-day remaining maturity using listed KOSPI 200 option contracts, a rise in option prices is interpreted as market participants anticipating greater potential volatility in KOSPI 200 prices moving forward.
(Photo: Yonhap News)