A Historical Perspective On Volatility & The VIX

S

Sbelmont

A Historical Perspective On Volatility & The VIX

Posted at www.TheOptionsInsider.com
in Trading & Technology
by The Options Industry Council

A Historical Perspective

"Everyone seems to think that this level of VIX is the highest ever. That’s not the case. When I created the VIX for the CBOE in 1993, I backdated everything until the beginning of 1986.

The highest level was 172.79% in the market crash of October 1987. October 1997 and October 1998 also experienced levels nearing 60+%. Maybe the current situation is simply an “October effect.” Granted the original VIX based on the at-the-money OEX options and the new version based on all at- and out-of-the-money SPX options are slightly different, their levels and movements remain close."

- Robert E. Whaley Valere Blair Potter Professor of Management, The Owen Graduate School of Management, Vanderbilt University

Full Text of Article And Graph of VIX vs. DOW Available Here...
 
Not a problem.

I've seen a lot of people pontificating on the VIX these days. But this is the first comment I've seen from the original creator of the VIX. I think his comments carry more weight than many of the recent VIX "experts" that are spouting their nonsense on CNBC, etc.
 
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