Monday, September 29, 2008

Top Five VIX Spikes

With the VIX spiking up to 39.59 just a moment ago, I thought it might be instructive to recap the top five VIX readings since 1990, the first year for which the CBOE has calculated VIX historical data:

Note that these readings are all dwarfed by the high of over 170 recorded by the VXO (‘old VIX’) on Black Monday 1987.

4 comments:

Anonymous said...

Bill, would you buy VIX puts here?

Bill Luby said...

In think bear call spreads might be a better choice, given the high level of implied volatility.

Cheers,

-Bill

DF said...

Love the analysis of your writings, there has been a great deal of inaccuracies on the VIX, its good to read someone who knows what
the facts are.
What is or would be the 1987 VIX reading be under the revised VIX?

Bill Luby said...

Hi DF,

The 'old VIX' (VXO) peaked at 172 intra-day and closed at 150.

On average, the VXO is about 4% higher than the revised VIX, so I am estimating a new VIX in 1987 peaking at about 165 and closing at about 144.

Cheers...and thanks,

-Bill

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