Tuesday, October 7, 2008

Another VIX Record Close: 53.68

The VIX handily surpassed yesterday's record close of 52.05 by establishing a new mark of 53.68 today.

For most of today's session, yesterday's VIX record looked safe, until a flurry of selling in the last half hour lifted the VIX to a new end of day high. Today is the third record close for the VIX in the last seven sessions. Also of interest, today's intra-day high of 54.19 was the second highest on record, behind yesterday's 58.24 mark.

One bit of obscure VIX trivia: today the VIX closed 116% above the 100 day moving average of 24.87, yet another VIX record.

As a reminder, VIX calculations continue until 4:15 p.m. ET, which is when trading ends for the underlying SPX options.

3 comments:

Anonymous said...

The charts look like we are going lower long term. Could be below 800 on the sp500

John said...

Bill,

Any thought on how high we could go?

Interesting comments from derivatives trading desks - VIX too high given the inability to short... Not certain I agree, but could the removal of the uptick rule and the other interventions affect VIX levels?

If there is no problem(s) and VIX levels are "real", then is there any natural high water mark?

Is there an "all safe" level we need to see in order to signal a better market (under 30)?

Thanks for your work and blog

Bill Luby said...

Anon,

I can't imagine anyone is ruling out the possibility of something as low as 800 at this stage.

John,

There is a such a wide range of scenarios that may play out on a global economic scale that it is hard to assign a number to how high the VIX can go. I certainly wouldn't rule out the possibility of a 100+ VIX if the financial systems melt down.

In the current environment, where things keep getting worse each day but fall short of a complete financial heart attack, I have a tendency to think that 70 is a reasonable expectation for a ceiling.

I agree that the VIX is distorted by the short selling restrictions and all the interventions, but it is not completely clear that this results in an elevated VIX. It is possible that this is actually keeping the VIX artificially low.

Regarding an 'all safe' signal, 30 is a good number to keep in mind, but I think time and trend (i.e., number of consecutive days of a declining VIX, % off of high, etc.) might be a better barometer.

Cheers,

-Bill

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