Trading in options on Wall Street's fear gauge was impossible in the first minutes of Monday's session due to an absence of prices from the market makers on whom trading depends, a representative of index operator CBOE Global Markets Inc said.
CBOE Senior Trade Desk Specialist Ryan Stone told Reuters that VIX options were tradable at 9:51 a.m. ET (1351 GMT) but a lack of liquidity led to a lag of about seven minutes until the first trade, around 9:58 a.m. ET.
When activity in options resumed, the VIX surged to its highest level since December 2008. The volatility spike occurred as global stock markets were melting down on fears about the spreading coronavirus and crashing oil prices.
It followed 15-minute trading halts across U.S. exchanges, triggered by an opening 7% decline in the S&P 500 that set off circuit breakers.
The S&P was last 7.6% down and the VIX was up 12.5 points at 54.46.
A spokesperson for CBOE later confirmed that the index series was available for trading at 9:51 a.m. ET but that the first trades had not happened until later.
"At 8:51 am CT, the available constituent series went into opening rotation, were available for trading, and by 8:54 am CT, an updated value of the VIX Index was subsequently published," she said. "At no time during this period did the VIX Index experience a technical issue."
According to CBOE's website, the VIX Index is calculated using standard S&P 500 options and weekly S&P 500 options that are listed for trading on CBOE Options.
"What caused the delay in opening SPX & VIX - with these being products - is we had to manually open them," Stone said.
"We gave market makers the delay to ensure they were getting proper market data so they could properly quote these."
In line with its own rules, CBOE had earlier taken a "precautionary measure" to not open the VIX to trading before the bell as it was not able to calculate the index value at the time, after E-mini futures on the S&P 500 hit their 5% lower limit in premarket trade.
The VIX index is widely used by traders as a measure of expected volatility of the S&P 500 over the following 30 days and is traders' main way of protecting against or betting on sharp moves in stocks.