The biggest mystery for financial markets so far this year has been the continued high level of the CBOE volatility index, known as the "panic index" VIX.

Even though the S & P 500 hit an all-time high at the beginning of the year, the VIX remains high. For this indicator, known as the "panic index", its position does not seem to reflect the actual mood of the market very well.

Why on earth is this?

In the report, Ricky Fishman, an analyst at Goldman Sachs Group, pointed the finger at US retail investors, saying that the frenzy of retail investors flocking to the options market reached its best point in January when retail investors took advantage of the GameStop stock cutting agency leek.

In January, GameStop shares became a battleground between Wall Street investors and American retail investors, who organized themselves online, causing heavy losses to Wall Street investment firms that specialize in shorting stocks. American retail investors beat two large investment institutions one after another with a single stock.

According to Goldman Sachs Group, the trading volume of individual stock options jumped 130 per cent between 2019 and 2021, while retail brokers accounted for about 57 per cent of the total trading volume of non-index options in the first quarter of this year.

And because a large number of retail orders are in the form of buy call options, hedging demand from large traders (the latter hedging by buying implied volatility), or by widening the spread between put and call options, pushing the VIX index higher.

Goldman Sachs Group believes that the influx of retail investors into call options is an important reason why the VIX index remains high this year. At present, the VIX index has been at a high premium to the level implied by volatility, and the last time a similar situation occurred was in 2009 and 2010, the two years after the financial crisis. Since then, it took nine years for the VIX index to finally hit a cyclical low in 2019.