From: Jack Hartmann Friday, Jul 12, 2002 10:56 AM
VIX historical info from Aaron Task
But what really turned the market, traders said, was the CBOE Market Volatility Index rising over 40 intraday. The VIX traded as high as 41.64 before closing down 0.1% to 38.64.
The 40 level on the VIX is closely watched by traders because it has coincided with significant market bottoms several times since 1986. However, what's interesting to note is that the VIX was above 40 for several days in each of those past episodes, according to a report today by Arnhold & S. Bleichroeder:
In 1987, from Oct. 19 through Dec. 17;
In 1988, from Jan. 8 through Jan. 14, and again on Jan. 21;
In 1998, on 21 of 34 days between Aug. 28 and Oct. 14, and;
In September 2001, from Sept. 17 through Sept. 24.
That track record should give those excited about today's rally pause, given the VIX was above 40 for all of a few hours. Then again, it does (still) seem like a lot of participants are more fearful of missing out on the next rally than of further losses, so we shouldn't underestimate how long the "VIX over 40" momentum will last. |
