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Politics : High Tolerance Plasticity
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To: kollmhn who wrote (15051)7/15/2002 10:15:19 AM
From: Archie Meeties  Read Replies (1) of 23153
 
The 1987 VIX of 172.79 was back calculated, as the VIX has only been around since '93. Options are different now, both in terms of volume, width of spreads, and volatility. Some people totaly toss out the 80's VIX's because they're not sure if it is helpful in comparing with todays VIX.

I think panic and volatility achieved in Sept. should be the benchmark against which future extreme VIX's will be compared. Except for another, much larger terrorist attack, I can't see that level of panic being repeated because of something happening internal to the markets. For example, a 20% drop in the USD lock limit down each day would cause panic - but would it cause the same type of panic as Sept. 11? I don't think so.

A scenario where the VIX hangs around 40 for a while and then does a final spike is possible. No margin, much less max margin, until shortly thereafter.
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