Tuesday, February 27, 2007

One Day 30% (!) Spikes in the VIX

Nobody has asked yet, but I might as well save those who are contemplating the question a few keystrokes.

Since the VIX was officially rolled out in 1993, there have been only 4 days in which it spiked up 30% or more. Turn the clock back to 1990 and you find a total of 8 days.

For those who might be interested, the mean reversion expectations following a +30% move are very similar to that of +20% days, which I weighed in on this morning. The data sample size is small enough to not be statistically significant, but still, in the 3, 5 and 10 days following the VIX spikes, 6/8, 7/8 and 5/8 of the VIX moves had reversed. The mean retracements were 9% and 11% over the 3 and 5 day period, but 10 days out, the mean move had continued upward 4%, owing largely to the strength of one subsequent 52% spike in the VIX.

The VIX has not made a 40% move to the up side since February 2, 1994, when the Fed’s decision to raise interest rates sent shock waves through the markets.


Anonymous said...

Hi, I posted a monthly VIX chart to HeadlineCharts and was wondering if you could help me out with any thoughts about it. I had a long day, and I'm too tired to think! I really like your blog by the way. I just started getting into it.

DISCLAIMER: "VIX®" is a trademark of Chicago Board Options Exchange, Incorporated. Chicago Board Options Exchange, Incorporated is not affiliated with this website or this website's owner's or operators. CBOE assumes no responsibility for the accuracy or completeness or any other aspect of any content posted on this website by its operator or any third party. All content on this site is provided for informational and entertainment purposes only and is not intended as advice to buy or sell any securities. Stocks are difficult to trade; options are even harder. When it comes to VIX derivatives, don't fall into the trap of thinking that just because you can ride a horse, you can ride an alligator. Please do your own homework and accept full responsibility for any investment decisions you make. No content on this site can be used for commercial purposes without the prior written permission of the author. Copyright © 2007-2023 Bill Luby. All rights reserved.
Web Analytics