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The Vix Index: March 2008 - May 2010

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The VIX Index is the nearest thing we have to a global Geiger-counter of financial risk. This is how it's trending since the Eurozone crisis kicked off. I'll be blogging more on this and covering the slide on the financial markets later. For now I leave you with the following thought: the VIX is nowhere near the highs it reached after the TARP failed and global contagion took off. But it is higher than it was on the day Lehman collapsed.


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oh dear oh dear. People are obviously seeing a real risk that they are willing to pay to protect themselves against. Only way to go from here in my opinion.

Following your logic, someone was desperate to buy downside protection on March 6th 2009 with the SPX at 666.

I'm guessing it wasn't Goldman Sachs............

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Nice graph.

Just be careful when comparing the VIX on an historical basis. At the time of Lehman's failure (mid Sept 2008), the S&P 500 was 15% higher than now, so all things being equal (and irrespective of ATM vols), we would expect the VIX to be lower at that time than it is now. Spot levels make a big difference in the calculation.

Note from the graph how implied volatility got crushed in the more orderly part of the sell-off (Jan-March 2009). If you believe in the plunge protection team, and that governments/CBs will do anything to prevent a disorderly equity selloff, being long equity vol at these elevated levels could turn out to be an extremely costly trade.

Edited by Toilet-Currency
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