How High Might the VIX Spike?
Mon, Nov 5, 12:12 PM ET, by Bill Luby
Given all the drama in the euro zone, not to mention the fiscal cliff, the various difficulties in China, continued unrest in the Middle East and Northern Africa, etc. it is more than a little surprising that the CBOE Volatility Index (VIX) has failed to trade above 30.00 this year. In fact, with a maximum VIX of just 27.73 for the year, 2012 could mark the first time in 15 years (if one excludes the Greenspan liquidity bubble from 2004 - 2006) that the VIX has not made it out of the twenties. How does 27.73 compare as an annual high in the VIX? Since 1990, the mean high in the VIX has been 37.90 (inflated somewhat by the 2008 high of 89.53), while the median high VIX has still been a reasonably lofty 35.93. This is not to suggest that the markets have been mispricing SPX options (and therefore the VIX) for most of 2012, only to note that there are certainly quite a few chapters remaining in the European sovereign debt crisis and the fiscal crisis, several of which will unfold before the year is over. This could be one of those years in which the VIX never makes it into the thirties, but if that is to be the case, it will buck some fairly high odds in the process. Related posts: 
[source(s): CBOE, Yahoo] Disclosure(s): none
SDI Glossary: "CBOE" Definition
SDI Glossary: "VIX" Definition
SDI Glossary: "Volatility Index " Definition
This Article's Word Cloud:
About
CBOE
East
European
First
Given
Global
Greenspan
Highest
Series
Shrinking
Thinking
This
Volatility
Week
Year
annual
been
compare
continued
could
crisis
debt
drama
fairly
fiscal
high
just
mark
mention
most
never
posts
process
remaining
sovereign
suggest
surprising
that
there
therefore
those
twenties
unfold
which
while
will
with
year
years
More articles: 1 2 3 4 5 6 7 next »
| 
RSS
