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:

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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%

 

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Thanks, Mike!

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