Apr

5

VIX close over 40–without enumerating because there are often a bunch of close dates with closes over and under 40, but all linked etc:

1) 10/87 with VXO adjusted from 150, I'll call 'over 40' on the modern VIX
2) 8-10/98 Russian financial crises and associated other currency collapses
3) 2000 dot com period into 9/11
4) 2008-9 financial crises begin great recession
5) 8/2011 don't know this one even though I kind of recall it don't think this was flash crash….
6) 8/8/2015 not sure could look it up just counts at 40.74
7) 2/2018 this was XIV and vol related highest closing print was 37.32, but I have to think it traded about that day intraday
8) 3/2020 Covid lock downs
9) 2021-2022 during the lock down there were some spikes, don't recall why, but no closes
10) Today, 4 April, 2025

So kind of 8-10 (depending how orthodox one requires) VIX > 40 closes episodes in the last 40-ish years in terms of canes, We all knew about the tariffs coming , but I would say we all knew about the crappy lending in 07 too…. The others, pardon my youth I was in the scouts in 87, but I think had less general knowledge warning.

Some of these periods with VIX > 40 go on for a while. So definitely not a recommendation or a prediction just a comment about the unusually high level today.

Peter Penha comments:

5) 8/2011 was the debt downgrade of the United States from AAA by S&P - It of course led to a collapse in us government yields in the rush to safety as people had to think through it does not matter what you call or rate the safest asset as long as it remains the safest benchmark asset BUT some people said well if a 2nd ratings firm downgrades the USA then everyone who can only hold AAA assets will have to "dump their treasuries”.

6) August 2015 was the end of the tumble collapse of the Chinese Stock Market ~40% that led to a collapse in commodity prices - oil went from $100 to $40 (a Boston buyside technical analyst had $40 as his oil target and we all thought we would be in a 2009 deflation if we ever saw $40 again) - anyway was the fear of Chinese deflation everywhere - Think the Bank of China came in to sell down the volatility and stabilize markets.

I think in that recent YouTube video link I emailed - the speakers were discussing that in 2009 10 Year US Index equity volatility hit 40%.

I do have one anecdote told across the firm from 2008 from someone who made billions (or “more in 1 week than the firm had ever made globally in a year in derivatives”) in an uncapped covariance swap - he took all the capital from all the equity traders at the firm to put on his covariance swap bet at $100mm per 1% for SPX, Topix, DAX up or down - anyway the reason given was that he said that a top seasoned lifelong professional trader with top Sharpe ratio will second guess themselves and lose money in the chop when the VIX is over 34 - I remember this one as your mentioning covid lockdowns reminded me that Alberta Canda Pension lost some $2bn-$4bn in the blink of an eye selling a similar swap.


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