Monday, September 29, 2008

VIX Top Ten Highest End of Day Closes

In Top Five VIX Spikes below, I have detailed the highest VIX values attained in an intra-day basis. In the table below, I offer up the ten highest end of day closes in the VIX. Regarding the “event trigger,” the dividing line between the Russian financial crisis and the problems associated with Long-Term Capital Management is somewhat arbitrary. For the sake of simplicity, I am counting September 21, 1998 as the break point between the Russian Financial Crisis and public knowledge of the LTCM situation.

Note that end of day VIX calculations are made at 4:15 p.m. ET, so these numbers reflect a short stretch of after hours activity.

With an hour or so of trading left to go, the current 46.38 would be a new record close for the VIX.

7 comments:

Upandaway said...

48.40 now! And somehow I'm not sure it'll end here...

If the GOP bozos in the House don't get their act together soon, 40 will become the new floor.

Sitting tight for now tho.

Anonymous said...

very good and timely post - keep up the good work

Complacent Panda said...

Amazing...and tragic.

OilIsMastery said...

upandaway, I had no idea that without Republicans there would no volatility. I guess you learn something new every day.

Anonymous said...

Hey, any studies on if you bought the market after it closed on those new highs and what happened in the weeks after?

Upandaway said...

@Oilismastery

Oh there'd be volatility alright, but not this kind of monster-freak-volatility that we have now.

All I'm saying is that maybe you shouldn't elect people who read their papers upside-down...

Because it only makes sense that way!

Bill Luby said...

Regarding timing the market on new VIX highs, I expect to have something about that up tomorrow.

OilIsMastery, I just checked out your blog. Some very interesting work!

Cheers,

-Bill

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