Monday, September 29, 2008

Record VIX Close of 46.72

The VIX set a new record today, with a closing price of 46.72. This record surpassed the previous record of 45.74 from October 8, 1998, which came during the Long-Term Capital Management fiasco.

Today also saw an intra-day high of 48.40 that is now the fifth highest intra-day VIX reading, behind a 49.53 reading also from October 8, 1998.

For the record, October 8th was toward the end of the panic associated with LCTM. It was the 18th day in a 1 1/2 month period that the VIX traded over 40. Following the record readings, the VIX hit 40 on each of the next four days, then did not trade in the 40s again until after the 9/11 World Trade Center attacks.

Given the heightened anxiety over the financial sector and uncertainty surrounding how and when some of the issues will be resolved, today's record does not yet look like a VIX top. The VXO hit 55.10 today (the highest reading in that volatility index since July 24, 2002) and a VIX of similar magnitude is not out of the question going forward.

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