Thursday, October 23, 2008

VIX at 79.43 as Panic Deepens

A new record high close for the VIX is all but assured at this point.

Buyers have been afraid to step in front of the freight train during the past three hours, thought it is never easy to predict what the last 90 minutes will bring.

For those who have asked, the VIX technically has no upper boundary.
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6 comments:

  1. UnknownOctober 23, 2008 at 1:31 PM

    96.40 $VIX spike?
    Per http://finance.yahoo.com/q?s=%5Evix
    and the two different data sources my broker provides, there was apparently a VIX spike at the open. Just a glitch, or...? Thoughts appreciated.

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  2. Bill LubyOctober 23, 2008 at 1:36 PM

    Another glitch today. The CBOE has corrected the day's high to 79.43.

    Also, solid earnings from Microsoft kept the VIX from a new high close, as the VIX drifted down to close at 67.80 (and putting the Batman pattern back onto play...)

    Cheers,

    -Bill

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  3. AnonymousOctober 23, 2008 at 2:13 PM

    The Cash Vix index was exceptionally volatile today as it increased from about 65 at 11:40 AM to 79 at 2:20 PM and then decreased from over 78 at 2:55 PM to its closing level of 67.8. The SPX 500 64 point drop from 11:00 AM to 2:20 PM and 46 point increase from 2:55 PM to 4 PM obviously contributed to these large volatility swings.

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  4. EricOctober 23, 2008 at 2:44 PM

    You should distill this blog into a book, and pair it with some trading strategies.

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  5. Bill LubyOctober 23, 2008 at 2:53 PM

    Thanks for the vote of confidence, Eric.

    I am several months into a book, to be published by Wiley, with a working title of Trading With the VIX: How to Use Fear, Volatility, and Market Sentiment to Enhance Trading.

    Depending upon how much turmoil there is in the markets, I hope to have the manuscript completed by the end of the year. There are many days, such as today, when I begin to wonder if my subject matter is moving faster in real time than I have the capacity observe, analyze, and write about it.

    Also, for what it's worth, the book will cover quite a few topics not found on the blog, some of which I discuss in the subscriber newsletter from time to time.

    Cheers,

    -Bill

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  6. David MerkelOctober 23, 2008 at 10:21 PM

    Though the VIX may technically have no upper boundary, market makers in options typically sell all volatility while remaining delta-neutral when volatility nears 150, FWIW. Very difficult to lose money at those levels.

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