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.
48.40 now! And somehow I'm not sure it'll end here...
ReplyDeleteIf the GOP bozos in the House don't get their act together soon, 40 will become the new floor.
Sitting tight for now tho.
very good and timely post - keep up the good work
ReplyDeleteAmazing...and tragic.
ReplyDeleteupandaway, I had no idea that without Republicans there would no volatility. I guess you learn something new every day.
ReplyDeleteHey, any studies on if you bought the market after it closed on those new highs and what happened in the weeks after?
ReplyDelete@Oilismastery
ReplyDeleteOh 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!
Regarding timing the market on new VIX highs, I expect to have something about that up tomorrow.
ReplyDeleteOilIsMastery, I just checked out your blog. Some very interesting work!
Cheers,
-Bill