Category Archives: Financial Crisis

Market Volatility Revisited (Coronavirus Edition)…

Not that anyone is counting, but market volatility today is comparable numerically to market volatility in the depths of the global financial crisis of 2007-2009. Today, the CBOE’s implied volatility index (ticker symbol VIX) closed at 54.46. Putting this into a historical perspective, this level is at the 99.43rd percentile for all 7,557 daily observations on VIX recorded daily during the 30-year period spanning 1/2/1990 – 12/27/2019. The last time that VIX closed at this high of a level occurred on November 5, 2008, when it closed at 54.56.

For more information about the (contemporaneous) relationship between VIX and the overall stock market (as measured by the S&P 500 index), see “On the relationship between the S&P 500 and the CBOE Volatility Index (VIX)“: