Putting yesterday's VIX intra-day high at 65 into historical perspective...
Source: Bloomberg, RBC
Historic day in volatility
The difference between the VIX's intra-day high (65) and close (38) was the highest EVER. Source: 3Fourteen Research thru Octavian Adrian Tanase
TS Lombard: "Our analysis of past volatility bouts shows that equities take 4-5 weeks, on average, before a sustained recovery begins.
Markets tend to rebound on oversold conditions such as the current ones, but investors often sell into that strength, which can lead to a relapse. This is what happened, for instance, in 2018, an episode that bears strong similarities to the current one." Source: TS Lombard, The Market Ear
The $VIX spiked 65% higher today, the 2nd largest 1-day % increase in history
(note: $VIX data goes back to 1990). Source: Charlie Bilello
VIX hit 65. To put things in context: this is the 3rd biggest VIX spike in history...
The VIX is now just 15 away from its record high of 80 hit when the global economy shut down and the US market tumbled 30% Source: www.zerohedge.com, Bloomberg
Fed's emergency rate cut never happened when the VIX was below 40.
It seems that we are getting there... Source chart: Yahoo finance
Volatility is back...
The average S&P 500 stock has seen a 5% one-day move after releasing Q2 2024 earnings. This marks the most volatile earnings season since the 2008 Financial Crisis, according to Goldman Sachs. By comparison, in Q1 2024 and Q4 2023, the average stock moved by ~4% one day after the release. The volatility index, $VIX, is now up ~95% over the last month alone. Volatility is opportunity for traders. Source: The Kobeissi Letter
The Goldman US panic index is calculated as a rolling percentile of four equity volatility metrics
It spiked to one of the highest levels in two years in recent sessions... Source: Jason Goepfert on X
