tekram

VIX's Double Jump

Tradestation data $VXO.X to Jan 1986
When has VXO advances >= 13% each of 2 consecutive days?
09/12/1986 16.2957 %
10/19/1987 312.9502 %
08/06/1990 23.9563 %
07/23/1996 13.4696 %
03/11/2004 15.4787 %
07/27/2007 15.2503 %
11/06/2008 19.7388 %

When has the VXO index jumped >=12 pts in two days combined?
10/21/1987 76.28
10/22/1987 37.78
10/28/1987 32.09
10/29/1987 32.85
10/30/1987 19.83
10/13/2008 15.40
10/14/2008 27.54
10/20/2008 17.62
10/21/2008 15.28
10/28/2008 13.35
11/04/2008 13.41

VIX vs VXO vixandmore.blogspot.co...

Worst Two-Day Decline Since the '87 Crash

Bespoke,
"October seemed extreme, one landmark we failed to reach during that period was a two-day decline of 10% or more."

I think you missed a few on the SPX in October ? Using SPX.X from Tradestation data, the following recent dates showed a 10% or more 2-day decline. There are several more with 9.x% declines.

10/7/2008 10.3390 %
10/15/2008 10.5206 %
11/6/2008 11.1473 %


spx.x to 1960
10/19/1987 32.5802 %
10/20/1987 19.3641 %
9/29/2008 9.2957 %
10/7/2008 10.3390 %
10/9/2008 9.4854 %
10/10/2008 9.5327 %
10/15/2008 10.5206 %
10/22/2008 9.8820 %
11/6/2008 11.1473 %

Worst Two-Day Decline Since the '87 Crash

Yawn.... VIX above 50 will do that to the market. If you relax the criteria to 9%, you will get the following with $INDU (see below, going back to 1920s, data not shown for the other 29 instances). So basically you have this kind of historic volatility that makes 2 day declines > 9% common place, almost every other week in the last 5 weeks.

10/7/2008 0.09
10/9/2008 0.10
10/10/2008 0.10
10/15/2008 0.09
11/6/2008 0.11