Via Mike Panzner, comes this brief history of big one day VIX spikes:
The Volatility Index, or VIX, closed at 18.66, for a gain of 4.40 points, or 30.86%. Though impressive, it is hardly a record. In fact, it doesn’t even figure in the top five moves going back to 1990.
Over the 16-year period, eight trading sessions have had larger point and percentage rises than the current one (5/30/06).
The biggest one-day gain took place on September 17, 2001, when the “fear gauge,” as it is sometimes known, finished up 9.92 points, or 31.16%. (This was the day the market re-opened post 9/11).
The largest single-session percentage increase occurred on November 15, 1991, when the VIX jumped by 51.72% (7.22 points).
Still, by the time the unraveling of the many excesses of the past decade reaches a crescendo, I expect we will see these extremes beat handily.
Here are the top 10 moves, sorted by percent in descending order:
|Date||Closeing Price|| Change
|| % Change