An Historic Look At Spikes In the VIX

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Includes: IVV, SPY
by: TickerSense

During the recent market correction we noticed a seldom seen 100% spike in the VIX Index. We looked back over the VIX since its inception in 1990 and found four other similar such periods. We should point out that this analysis must be taken with a grain of salt, because there is a direct correlation between the VIX and the speed of present market declines. In other words, when the S&P 500 goes down quickly, the VIX goes up quickly.


vix spike

vix spike s&p 500

Below we drill further into these periods of a spike in the VIX to see where the worst day occurred. Not surprisingly, it is always near the end. The graph below divides the period that the VIX increased into tenths, the left is the beginning of the period, the right is the end. The current period came in nearly in-line with the spike in June, 1990; however, the worst day was more in-line with July of 1998. We should also point out that all of the periods occurred around the summer months, and on average the market gains in response to the spike.

vix spike worst day