The Tell: Wall Street’s fear gauge jumped the most since Brexit

Implied volatility on Wall Street, as measured by the CBOE Volatility index VIX, +39.89% soared 33% on Friday to 16.56, the steepest increase since June 24, the day Britain voted to leave the European Union, in a referendum dubbed Brexit.

Investors tend to be more fretful of VIX readings of 20 or above, but Friday’s jump was significant for the so-called fear gauge for Wall Street, considering that it has remained around 12 for a sustained period.

Back in late June, the VIX jumped nearly 50%, as investors feared an ugly fallout in the U.K. and the rest of the Europe following Brexit.

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