Volatility History

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
15-Nov-91 21.18 7.22    51.72%
23-Jul-90 23.68 8.05 51.50%
4-Feb-94 15.25 4.50 41.86%
3-Aug-90 28.74 8.31 40.68%
27-Oct-97 31.12 7.95 34.31%
19-Aug-91 21.19 5.18 32.35%
22-Jun-90 19.36 4.64 31.52%
17-Sep-01 41.76 9.92 31.16%
30-May-06 18.66 4.40 30.86%
16-Feb-93 15.76 3.38 27.30%



Thanks, Mike!


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What's been said:

Discussions found on the web:
  1. chris commented on May 31

    any comments on today’s FED minutes… i am very surprised the market was up.

    window dressing ?

  2. bb commented on May 31

    “Members were uncertain about how much, if any, further tightening would be needed,” the Federal Open Market Committee said in records of the May 10 session released today , even as they considered the first half-point increase in six years. … historically they stop raising 9 months before inflation peaks…. maybe we’re there now

  3. whipsaw commented on May 31

    I was also surprised that the market closed up, but if you look at a 15 minute candlestick chart of $SPX, you’ll see that the morning gains were completely gone within a few minutes after the FOMC minutes were released. My take on what happened after that was that fund managers were adjusting portfolios at EOM but waited until after the News! to do so with the result that prices were run up again.

    I don’t have access to volume by hour, but would be interested to see how much (or little) activity actually occurred during the last part of the day. It would be even more interesting to see composite profiles of who sold at 1260 and who bought at 1270, kind of a comparative loser study. 8-]

  4. todd commented on May 31

    Art Cashin got it right today… the sell-off was due to Bank of Japan related issues. The Yen sold off 5% against the dollar and and the carry trade crowd had to cover their margin calls.

    BTW— Barry I hope you ran a big VIX position going into the sell-off! That was a fantastic call! Your n225 call of 17,000 was also right on the money… Was it luck, or how did you hit that number?

  5. Barry Ritholtz commented on Jun 1

    “Still, it seemed most likely that, with modest further policy action, including a 25 basis point firming today, growth in activity would moderate gradually over coming quarters, pressures on resources would remain limited, and core inflation would stay close to levels experienced over the past year.”

    I am no Kremlinolgist, but that says 1/4 point hike in June to me

  6. tw commented on Jun 1

    25bp in the cards … ff futures price in 64% chance

  7. calmo commented on Jun 1

    I’m looking at daily DOW volatility that is typically in the 50-100 range , a range that seems to be increasing, no? (Does the table capture anything but the largest daily volatility over the past couple of decades?)
    With fewer money managers handling more and larger portfolios and with the increased use of ETFs, does this compression generate volatility? If there is such a thing as a typical trader, is he turning over his portfolio faster today than he was last year? Is he making more trades per day?

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