Self Directed Investor Inc
SDI: "Empowering investors with ideas and education"
Symbol Lookup »  
Topics:>ChinaETFsEarningsEconomy>EnergyForex>GoldIncome>Lessons>IdeasTrading

  • Other news: News from PR Newswire
| More

Top VIX Crushes in History

Tue, Nov 8, 1:21 PM ET, by Bill Luby

Yesterday's sharp downward move in the VIX gave me a reason to tweet that the volatility crush as seen in the SPX and VIX was among the top 25 in history.  Upward pressure on the VIX toward the end of the session dropped the VIX down to the 30th largest VIX decline in history, but along the way the Twitterati raised a number of questions about volatility crushes and the VIX as a measurement tool of broad market volatility crushes.

Since I have never seen any data related to the VIX and volatility crushes before, I thought this might be an opportunity to present some of my data and talk about the findings.  In the chart below, I have captured the 25 largest one-day declines in the VIX since 1990 and have presented data showing the forward performance of the SPX in periods from one to 100 days and I have also added some brief commentary regarding the causes.  In some cases I link the volatility crush to a previous VIX spike and use some explanatory shorthand in the process.  For instance, the top crush day, May 10, 2010, followed 2 days after the 21st largest VIX spike ("2d+ #21").


[source(s):  CBOE, VIX and More]

Of course, most of these volatility crush days coincided with huge jumps in the SPX, but there are some interesting exceptions, not the least of which was the 0.04% decline in the SPX back on April 11, 1990.  That just happens to be the only day for which I cannot find any obvious explanatory catalyst - to the extent that a 0.04% in stocks can actually have a catalyst - but given the proximity to the upcoming Gulf War, my guess is that some sort of news related to Iraq played into this event.

Note also how many of these volatility crush instances follow other important market-moving high fear events one or two days later, in true mean reversion fashion.  Examples on this list range from the flash crash, Greece, Lehman Brothers and Bear Stearns to several VIX all-time highs, Russian political and economic crises, the Boston marathon bombing, etc.

Things get even more interesting if you compare the top 25 VIX crushes to the top 25 VIX spikes in history (for an identical table recapping the top 25 spikes refer to Last Two Days Are #5 and #6 One-Day VIX Spikes in History.)  For starters, the top 25 VIX spikes all move up at least 31%, while none of the top 25 VIX crushes managed to eclipse the 30% decline level.  Also note the differences in the mean reversion predictive value of spikes versus crushes.  In general, the performance of the SPX following VIX crushes is modestly lower than that of the SPX in general.  On the other hand, the performance of the SPX following VIX spikes is generally better than the SPX in general - much more so if the September 29, 2008 outlier is dropped from the data set.

Another point that I think is worth making speaks to the overall changes in the volatility space.  The critical data point is that 11/25 of the top 25 VIX crushes happened since the beginning 2010, while 14/25 of the top 25 VIX spikes have occurred during the same period.  This means that we have had as much in the way of big volatility moves in the list seven years as in the previous twenty years of VIX data.  In other words, the volatility landscape is changing and the rise of VIX futuresand VIX ETPsare no doubt an important part of that change.

For those who may be interested, you can always follow me on Twitter at @VIXandMore

Related posts:



Disclosure(s): the CBOE is an advertiser on VIX and More


SDI Glossary: "CBOE" Definition
SDI Glossary: "VIX" Definition
This Article's Word Cloud:   CBOE   Days   Last   More   Spikes   about   also   catalyst   crush   crushes   data   days   decline   dropped   explanatory   follow   following   from   general   have   history   important   interesting   largest   least   list   market   mean   more   move   much   other   performance   previous   related   reversion   seen   since   some   spike   spikes   than   that   these   this   volatility   which   while   with   years

| More

Top Ten Bullish Trending Stocks Extended above the 200 Day SMA October 18
Wed, Oct 18, 2:21 PM ET, by Corey Rosenbloom

Did you know this market will NEVER go down again? Ok that’s not actually true ...

Peculiar Patterns on the Four Equity Futures October 17
Tue, Oct 17, 1:11 PM ET, by Corey Rosenbloom

Which of our four equity markets is the strongest/weakest and what patterns are emerging? Let’s ...

Exploring the Emini Extended Run Volume Profile Chart
Thu, Oct 12, 1:41 PM ET, by Corey Rosenbloom

Will we ever get a pullback in this extended market? It sure feels like we ...

Market Still Holding at the Extended Highs October 11
Wed, Oct 11, 3:31 PM ET, by Corey Rosenbloom

Stocks continue to hold the highs at the 2,550 “Open Air” level on an extended ...

Join Me at the Las Vegas Traders Expo in November
Thu, Oct 5, 4:31 PM ET, by Corey Rosenbloom

It’s right around the corner! It’s the big International Traders Expo in Las Vegas this ...

Impressive Emini Rally and the Volume Profile Level to Watch
Wed, Oct 4, 12:21 PM ET, by Corey Rosenbloom

With the stellar rally in the market taking us to new all-time highs, what level ...

Nine Sector Grid Overview Shows Bullish Strength
Wed, Oct 4, 11:51 AM ET, by Corey Rosenbloom

As the market jumps to another new all-time high, let’s step inside the market to ...

Market Keeps the Bullish Uptrend Going Strong
Tue, Oct 3, 2:11 PM ET, by Corey Rosenbloom

Though it may feel weird, the market just simply keeps plowing higher in a triple ...

Three Surprisingly Bearish Breakdown Stocks on the Big Bullish Day
Wed, Sep 27, 5:11 PM ET, by Corey Rosenbloom

If you looked at the stock market’s strength and new intraday high today, you’d likely ...

Get Your Copy of the Big Book of Pro Trading Strategies Today
Thu, Sep 21, 5:21 PM ET, by Corey Rosenbloom

I’m excited to announce that I contributed an in-depth chapter to the new “Big Book ...

Market Slams First Support Target on Volume Profile Chart
Wed, Sep 20, 2:41 PM ET, by Corey Rosenbloom

If you made note of yesterday’s “Professional Volume Profile ‘Look Out Below!’ Levels” post, you’ll ...

Professional Volume Profile and Look-Out-Below Target Levels for Emini
Tue, Sep 19, 4:41 PM ET, by Corey Rosenbloom

With the market hanging out at all time highs, drifing back today, what levels should ...

Tightly Coiled Market at All Time Highs Sept 15
Fri, Sep 15, 3:21 PM ET, by Corey Rosenbloom

Are we having fun yet? The S&P 500 and Emini (@ES) trade shy of the ...

Tesla TSLA Breaks a Triangle to Travel Toward the Highs
Thu, Sep 14, 1:21 PM ET, by Corey Rosenbloom

If you’re a “Tesla Trader,” you’re likely excited about the recent breakout event! Tesla TSLA ...

A Big News Crash in Uptrending Equifax EFX
Wed, Sep 13, 9:31 PM ET, by Corey Rosenbloom

You’ve probably heard about the large-scale data breach exposing customer data at Equifax (EFX). We’re ...

A Rapid Return to Risk ON Money Flow in our Quad Market Grid
Tue, Sep 12, 3:51 PM ET, by Corey Rosenbloom

As if there were never any doubts, equities surged to new all-time highs this week. ...

Charting SP500 Breadth from Stocks Above Daily MAs Sept 7
Thu, Sep 7, 2:11 PM ET, by Corey Rosenbloom

Like a strong tree rotting on the inside, the S&P 500 breadth currently tells a ...

Emini Still Trades and Bounces within our Grid Sept 6
Wed, Sep 6, 2:41 PM ET, by Corey Rosenbloom

Our breakout beyond 2,470 was short-lived last week. Now, we’re back within our grid. ...

Join Me and Thousands of Fellow Traders at the Money Show Dallas October!
Fri, Sep 1, 4:41 PM ET, by Corey Rosenbloom

It’s rapidly approaching! It’s your chance to attend the 2017 Money Show in Dallas from ...

Market Slices through Fibonacci Grid like a Hot Knife through Butter
Thu, Aug 31, 12:41 PM ET, by Corey Rosenbloom

Wow, that was fast! Stocks rebounded like a rocket off our 2,425 Fibonacci Pivot. Let’s ...

Snapchat SNAP Beneath Major Resistance Target in Downtrend Aug 30
Wed, Aug 30, 2:31 PM ET, by Corey Rosenbloom

If you’ve been trying to find a bottom in Snapchart, August may have been your ...

Emini Plays the Fibonacci Levels like a Fiddle Aug 30
Wed, Aug 30, 2:21 PM ET, by Corey Rosenbloom

We finally got a breakout of our Fibonacci Grid!!! Here’s today’s big update in price ...

Daily Charting the Dollar Breakdown and Gold Bullish Breakout
Mon, Aug 28, 2:31 PM ET, by Corey Rosenbloom

Let’s expand the perspective on today’s “Dollar Drop and Gold Breakout.” The two charts below ...

The Dollar Drop and the Gold Surge August 28
Mon, Aug 28, 2:11 PM ET, by Corey Rosenbloom

We don’t fight or fade trends in motion, and the big gap-and-trend action in both ...

The Market Loves Loves Loves this Tiny Range Aug 28
Mon, Aug 28, 1:51 PM ET, by Corey Rosenbloom

Don’t adjust your dial! Yes, we’re STILL within the Fibonacci Range. Here’s today’s @ES Fibonacci ...

Join Us Friday for a Special Traders Talk Live Day of Webinars!
Thu, Aug 24, 8:11 PM ET, by Corey Rosenbloom

I’m so excited to join the line-up of expert traders who will be presenting various ...

Once Again the Emini Plays the Tight Range Aug 24
Thu, Aug 24, 1:21 PM ET, by Corey Rosenbloom

As we trade today’s session, we’re STILL within the tiny Fibonacci Boundaries of yesterday. Here’s ...

Emini Playing the Tight Fibonacci Range Today Aug 23
Wed, Aug 23, 3:11 PM ET, by Corey Rosenbloom

We expect Range Contraction (consolidation) after big Trend Days like yesterday. At the moment, that’s ...

SnapChat SNAP Surges to Falling Target on Bullish Engulfing Play
Wed, Aug 23, 2:31 PM ET, by Corey Rosenbloom

The last time I posted on SnapChat (SNAP) I clearly highlighted the “Aggressive Bottom Fishing” ...

Join Me TONIGHT for a Unique Stock and Trade Forecast Panel - Analyze Your Trades!
Tue, Aug 22, 12:21 PM ET, by Corey Rosenbloom

We’re excited to invite you to a special event tonight! I’m sure you’ve attended trading ...

A Longer Term View of our Collapse in Market Volatility
Tue, Aug 22, 12:11 PM ET, by Corey Rosenbloom

We know that volatility is lower in our current environment, but by how much… and ...

ULTA Beauty Plays Desperately for a Longer Term Support Bounce
Mon, Aug 21, 4:11 PM ET, by Corey Rosenbloom

Can they do it?! Can they do it? Buyers will be eager to step in ...

LuluLemon LULU Squeezes its way Between the Daily EMAs
Mon, Aug 21, 3:51 PM ET, by Corey Rosenbloom

Shares of Lululemon (LULU) jumped today, but merely continued the “ping-pong” between the 20 and ...

Helpful Pullback Price Planning Grid for NAS Dow and SP500
Fri, Aug 18, 2:21 PM ET, by Corey Rosenbloom

How far have the “Big Three” US Equity Indexex pulled back, what level tips them ...

WalMart WMT Perfectly Straddles the Daily EMAs ahead of Breakout
Thu, Aug 17, 2:51 PM ET, by Corey Rosenbloom

During today’s big sell session, Wal-Mart (WMT) collapsed toward its 50 day EMA target. However, ...

Amazon AMZN Fails at Overhead Wall of Resistance
Thu, Aug 17, 12:21 PM ET, by Corey Rosenbloom

I featured Amazon (AMZN) as a bearish swing trading candidate in last night’s member report ...

Energy XLE Downtrends to New Low
Wed, Aug 16, 12:31 PM ET, by Corey Rosenbloom

So far in 2017 we’ve seen relentless selling pressure in the XLE (Energy ETF). Here’s ...

Aggressive Bottom Fishing in SnapChat SNAP
Wed, Aug 16, 12:11 PM ET, by Corey Rosenbloom

New and aggressive traders often enjoy searching for that elusive trend reversal trade, also known ...

Catching Volatility Explosions 10x Trade Formula Webinar Thursday
Tue, Aug 15, 7:41 PM ET, by Corey Rosenbloom

I’m so excited about this event, given the big explosion in volatility of the last ...

Our August 15 Bouncing Emini Fibonacci Grid Update
Tue, Aug 15, 10:11 AM ET, by Corey Rosenbloom

With volatility back in the market (for now), let’s update our Fibonacci Grid for the ...

NVIDIA NVDA Crashes Through Bearish Wedge to Daily Target
Fri, Aug 11, 1:31 PM ET, by Corey Rosenbloom

Bullishly trending NVIDIA (NVDA) just broke a bearish rising wedge on negative divergences, collapsing instantly ...

Critical Swing Trader Support Test in Netflix NFLX Here
Fri, Aug 11, 1:11 PM ET, by Corey Rosenbloom

Netflix (NFLX) gives aggressive traders a chance to play a triple-support price level now. Let’s ...

Quick Quad Market Reaction to North Korea News Aug 10
Thu, Aug 10, 3:51 PM ET, by Corey Rosenbloom

Continuing our thought process from this morning, let’s take a look at the snap-reactions and ...

It Took the Threat of Nuclear War to Send the Dow Down 100 Points Today
Thu, Aug 10, 2:31 PM ET, by Corey Rosenbloom

I’m joking of course but doesn’t it feel that way? With rhetoric ramping up over ...

Join Me at the Best of Wyckoff 2017 Conference Sat August 19
Tue, Aug 8, 8:41 PM ET, by Corey Rosenbloom

Fellow traders, I’m excited to announce that on August 19th, I will be speaking in ...

August 8 Perfect Intraday Emini Trend Reversal Lesson
Tue, Aug 8, 4:11 PM ET, by Corey Rosenbloom

While new traders aren’t encouraged to fight/fade trend in motion, there are specific setups that ...

Charting How Volatility has been Zapped from our Current Market (and what to do about it)
Tue, Aug 8, 11:41 AM ET, by Corey Rosenbloom

If you’re having trouble making the daily or weekly profits you’ve gained in the past, ...

Charting a Bullish Break into Open Air Goldman Sachs GS
Mon, Aug 7, 4:11 PM ET, by Corey Rosenbloom

Shares of financial giant Goldman Sachs (GS) broke resistance today into a Bullish Zone. Is ...

Emini SP500 Slowly and Gently Drifting to the Highs Aug 7
Mon, Aug 7, 1:51 PM ET, by Corey Rosenbloom

After a narrow range developed between 2,465 and 2,475, we’re seeing a soft bullish drift ...

The Gold Stumble and the Dollar Surge Aug 4
Fri, Aug 4, 12:51 PM ET, by Corey Rosenbloom

On the morning of big US Jobs Report, we see a big intraday move in ...

  More articles:  1 2 3 4 5 6 7 next »

ABOUT US »   ADVERTISE »   CONTACT US »   TERMS OF USE & PRIVACY POLICY »

Top VIX Crushes in History | Self Directed Investor | Copyright © 2008 - 2017, All Rights Reserved

Any ideas and opinions presented in Self Directed Investor content are for informational and educational purposes only, and do not reflect the opinions of BNK Invest, Inc. or any of its affiliates, subsidiaries or partners. In no way should any content contained herein be interpreted to represent trading or investment advice. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. All site visitors agree that under no circumstances will BNK Invest, Inc,. its subsidiaries, partners, officers, employees, affiliates, or agents be held liable for any loss or damage caused by your reliance on information obtained. Read Full Disclaimer.

SDI is associated with: ValueForum.com -- a subscription-based online social networking forum of serious individual investors. | MarketNewsVideo.com -- videos appearing on SDI are produced by Market News Video. | TickerTech.com -- stock quote content appearing on SDI is at least 20 minutes delayed and is powered by Ticker Technologies. | GoldStockStrategist.com -- Edited by Scott V. Nystrom, PhD, Gold Stock Strategist provides analysis on gold mining companies.