The VIX closed 1.4 percent higher but at the lowest level of the day at 11.11, after rising as high as 12.63.
A spokesman for the Korean People's Army said in a statement it was "carefully examining" plans for a missile attack on the US Pacific territory of Guam, which has a large US military base.
But while most traders appeared to favor safe-haven assets, bargain seekers helped Wall Street's three major indexes pare the day's earlier losses.
Some say expectations for its server-chip business were just too high (http://www.marketwatch.com/story/nvidia-stock-could-pause-as-server-growth-slows-down-2017-08-10).
The dollar index .DXY , which measures against a basket of currencies, fell 0.05 percent.
The pan-European FTSEurofirst 300 index .FTEU3 lost 1.19 percent.
The Dow Jones industrial average lost 71 points, or 0.3 percent, to 22,013. MSCI's broadest index of Asia-Pacific shares outside Japan .MIAPJ0000PUS closed 0.57 percent lower, while Japan's Nikkei .N225 percent.
The dollar was steady against a basket of six major currencies at 93.385 after falling 0.2 per cent on Thursday, with disappointing USA inflation and jobs data adding to the greenback's woes.
Trump's remarks on Tuesday that North Korea would face "fire and fury like the world has never seen" pushed Wall Street lower on Tuesday and drove up the VIX "fear gauge" of expected volatility on the S&P 500 higher.
Data showed US producer prices unexpectedly fell in July, recording their biggest drop in almost a year, while another set showed the number of Americans filing for unemployment benefits unexpectedly rose last week.
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The Swiss franc reversed a two-week losing streak and gained 1.1 per cent to as firm as 0.9611 per dollar.
USA gold futures settled up 0.3 percent at $1,294.
The dollar was steady at 110.005 yen after going as low as 109.560 overnight, its weakest in eight weeks.
The yen is often sought in times of geopolitical tension, partly because Japan has a big current account surplus, and it being the world's biggest creditor nation, there is an assumption Japanese investors may repatriate their foreign holdings in times of heightened global uncertainty.
Blue Apron slumped as much as 19.1 percent to a record low after the meal-kit delivery service provider reported a bigger-than-expected loss in its first quarterly report as a public company.
Analysts said yields, which move inversely to prices, could fall further if the tensions build further, even if central bankers in the United States continue to talk of raising interest rates of scaling back stimulus programmes.
ASIA'S DAY: The earlier Asian session was heavily influenced by the sabre-rattling between the USA and North Korea.
Brent crude dipped 0.05 percent to $52.68 a barrel.
Gold futures for December delivery climbed 1.3 percent to $1,278.50 an ounce at 9:02 a.m. on the Comex in NY.
Following the sell-off seen in the previous session, stocks may regain some ground in early trading on Friday.