What's the highest VIX you've ever seen?

Discussion in 'Options' started by turkeyneck, Oct 10, 2008.

  1. Is the current VIX as high as it gets?
  2. First dump I ever saw was '87. VIX didn't officially exist back then, but there were options, and backing the calculations out gives a triple-digit number somewhere between 120 and 150.

    A bad, bad day, by any measure.
  3. depends on what you look at historically.

    problem is, VIX calculation was changed in either 2002 or 2003.

    Originally, VIX was based on volatility in OEX (S&P 100 options) because S&P did not want to license the 500 for options.

    Eventually, desire for revenue caused S&P to license the 500 for options, but the standard measure of volatility in options was still based on the OEX.

    SOmetime in either 2002 or 2003, Goldman convinced CBOE to change. and now, ticker symbol VIX is based on S&P 500 options. Goldman created historic data for the NEW VIX by going all the away back to 1/2/1990, so that is where the history of the new VIX begins.

    The current VIX uses S&P 500 option volatility measures and prior version had to be renamed using the ticker VXO (based on S&P 100 option volatility).

    You can look at 1987 volatility by looking at the VXO.

    In next post I'll show you current comparison between the two volatility measurers.

    in 1987 VIX (based on OEX options),VIX hit there were no S&P 500 hit something near 160 or 170, If I feel like firing up one of my antique computers that still carries this data I can get you the exact level, but there really is little point,
  4. Here is a snapshot of the way the two volatility measures looked at the bottom of the selling in the wake of the 9/11/2001 resumption of trade (first week after re-opening, markets sold off hard).

    One of the things Goldman did in their revised method of calculating VIX (for S&P 500) was reduce the amount of volatility in the measure.

    I'll post the same style chart as of yesterday's close so you can see how they matched up yesterday (in the next post).
  5. It was September 19 of 2003 that the current form of VIX (referencing S&P 500 options data) went LIVE.

    I took a quick look back over the current VIX, and based on the limited data back to 1990, current reading is record, but of course, since there is no 1987 reading for the current VIX, you have nothing to compare it to.

    AND, also, remember, VIX 500 readings prior to Sept 2003 had only a closing value not a high and a low for the day.

    here's a chart of the current look.

    If you used VXO and compared it to level seen back in 1987, current reading is not a record.
  6. archon


    Whatever the VIX is trading at today.

    That is the highest ever...

    The high print for the VIX(based on S&P 500 options volatility) is the highest it has ever been, but understand, it was not calculated prior to jan of 1990. It was not calculated for the 87 crash.