Thursday, May 20, 2010

VIX Approaches Pre-2008 Record Highs

Prior to 2008, the VIX had only managed to nudge its way over 45 on three instances:

  1. The 1998 Long-Term Capital Management crisis
  2. The Russian Financial Crisis that preceded the LTCM debacle
  3. The height of the dotcom crash, when WorldCom filed for bankruptcy

The table below summarizes the top ten pre-2008 VIX closing highs. Should it hold, today’s VIX spike to 45.21 would put it at #3 all-time outside of the 2008 financial crisis.

short VIX at time of writing

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