VIX at 60

Discussion in 'Trading' started by btud, Oct 9, 2008.

  1. btud

    btud

    The fear index reached 60 today. This is unprecedented, as far as I know. How far can it go? Is there more panic left? Isn't the end of the world discounted yet?
     
  2. end of the world stocks would go to zero stupid.

    if the last two bars are not a "crash" then i don't know what is http://stockcharts.com/h-sc/ui?s=$INDU&p=W&yr=3&mn=0&dy=0&id=p30405022772

    someone enlighten me
     
  3. btud

    btud

    This value for VIX implies that there is a 68% probability that in the next 30 days S&P500 will be in the interval 750 --> 1070, and more scary, a 32% probability that it will be outside this interval:eek: :eek:
     
  4. Wasnt it 130 or something in the 87 crash. So long way to go yet.
     
  5. one 20% drop intraday will take care of this.
     
  6. As far as I know, the VIX has NEVER been at 60 - isn't it a new record, the previous record being only 47, set in 1987, 2001, 2002? Correct me if I'm wrong...
     
  7. Difference is that the 87 carnage took all of 4 days to hit a cumulative pk drop zone of -28% before the devastation was done.

    In 9 days, S&P has already hit a cumulative drop of -25%, so it's just a slightly slower fatality. I.e. can't just compare one day volatilities as apples to apples.

    If we have a day of 22% downside volatility in the next few days on top of this run, that would be pretty much financial Armageddon.

    However, keep in mind volatility pos autocorrelation goes both ways, if the direction changes with similar volatility, that could fuel a short term swing of immense magnitude to the upside. We'll see.
     
  8. Nanook

    Nanook

    1986-2005 VIX
     
  9. Vix stayed below 20 for 4 years, it can stay high for a long time.
     
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  10. I can't access your link, but my charts only go back to 1991. What was the previous all-time high?
     
    #10     Oct 9, 2008