Volatility index has one of its biggest one-day gains since Brexit

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The stock market's "fear gauge" posted one of its best trading days since the United Kingdom voted to leave the European Union.

The CBOE Volatility Index (VIX), widely considered the best gauge of fear in the market, rose 8.2 percent, or 0.93 points, to close at 12.27. in intraday traing, the index was on track to notch its biggest one-day gain since June 24, the day after the vote. But the VIX is still holding at near two-year lows.

Since the Brexit vote, the stock market has recovered and the S&P 500 has risen to all-times but on relatively low volatility. It has traded for 30 sessions without a move of 1 percent or more on a closing basis. The VIX is calculated based on the puts and calls on the S&P 500 trading at the CBOE.

The VIX last saw a double-digit gain when it shot up 49.33 percent the day after the U.K. voted to leave the European Union, amid fears about the stability of the EU and the European economy.

Daniel Deming, managing director at KKM Financial, said investors may be buying some safety ahead of Federal Reserve Chair Janet Yellen's Friday speech.

Yellen's remarks will be delivered after hawkish rhetoric from Fed Vice Chairman Stanley Fischer and New York Fed President William Dudley.

Deming added "there's definitely an increase in out-of-the money call buys in the VIX" for the week of the next Fed meeting, which is Sept. 20 and 21.

VIX since BrexitSource: FactSet

Market expectations for a rate hike coming out of that meeting are at 18 percent, according to the CME Group's FedWatch tool.

Still, it may be too soon to read too much into Monday's move, Deming said. He noted that "you typically see the VIX going higher on Mondays" and that the "price movement in the [S&P 500] has been about 5.5 percent over the past 30 days. That's a 52-week low."

Randy Frederick, managing director of trading and derivatives at Charles Schwab, said the VIX "has been at exceptionally low levels."

The VIX has cooled off significantly since the Brexit referendum, falling 50 percent, from 25.76 to around 12.9.

"When you get at these low levels and the VIX moves 1 point, it's about 10 percent," Frederick said. "I think the VIX can move 1 point any given day, no matter what."