ha. I dont like that strategy one bit
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Vix 45.74 all time high...
- Thread starter rc5781
- Start date
Quote from MKTrader:
Sorry to bust the bubble here, but VIX has been higher (1998, 2002). The VXO, which is similar, was more than double its current level in 1987.
ATH was near "172" during Market Crash of 1987
Monday, March 17, 2008
Volatility History Lesson: 1987
To summarize some history I laid out in Meet the Spikers, the VIX was officially launched on 4/1/93. At that time the method used for calculating the VIX was based on 8 S&P 100 (OEX) calls and puts with an average time to expiration of 30 days. On 9/22/03, the VIX calculation methodology was revised to include S&P 500 (SPX) options for all near term at-the-money SPX puts and calls and out-of-the-money puts and calls (deep-in-the-money options were excluded.)
At the time of the methodology switch from OEX options to SPX options, the CBOE created the VXO to provide continuity with the historical method of calculating the "old VIX" prior to 9/22/03.
The bottom line is on Black Monday (October 19, 1987), it was still 5 ½ years before a volatility index would first appear. The CBOE, however, was able to go back and reverse engineer the volatility data for 1987, using the OEX options methodology (i.e., the VXO or pre-2003 VIX.) The results are attached below. Keep in mind that given the slight difference in methodology, the VXO has historically registered at levels of about 5% higher than the VIX.