Now, basically, VIX is as close to a pure price risk bet as we have. Again per CBOE: reported VIX index values represent "market estimate of expected volatility that is calculated by using real-time S&P 500 Index (SPX) option bid/ask quotes. VIX uses near-term and next-term out-of-the money SPX options with at least 8 days left to expiration, and then weights them to yield a constant, 30-day measure of the expected volatility of the S&P 500 Index."
Now to the charts.
Starting from the top, we have actual VIX itself - today's close at 48.00 which was:
- Still well below the historical max of 80.86 attained on 20/11/2008
- Well ahead of the historical average of 20.35 or January-2008 to present average of 27.21 or the average since January 2010 of 21.11
- Today's close VIX reading was 63rd highest daily reading for the entire history of the series and the highest since January 2010
- All 64 top readings (equal or above that attained today) were recorded in the period since January 2008.
![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhOPf8cAedG92ut1uCd50WFcVeomg-6YAAvUAudemCrHAruJ92Twbnws8q8K0KeqdnOe6Na4DTANfLiCI8jheEA_ONKjoMAz5Dx7Yv27NISmGI7gZvPJKDMKHS7OE73L8a6xAXzwHJ94otG/s280/Screen+shot+2011-08-08+at+22.15.28.png)
- Intraday spread average for historical series is 3.01%, while since January 2008 through present intraday spread averaged 9.06%.
- Today's spread was 7th highest in history of the series, the 5th highest since January 2008 and the second highest (after last Friday's) since January 2010.
- Friday's intraday spread was the 5th highest daily spread in the history of the series and the 4th highest since the crisis start (January 2008)
![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjBeQJR1xoqDPMDEVhqSRBgJdH5TdcVsGdr7L7EvOrHA5rPuFc0IPFROqSFoKaQRMQvgqZIjiuRxa2k1itIBS1eRcKBfiI77IXbCYYsDISdPLL-57AwBHom6PaKKJ3E2uOS-hHgIQnlzwjj/s280/Screen+shot+2011-08-08+at+22.15.48.png)
![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhKmIuAAxk6KvxpblprNrO-qZSsk8eOG_UZ4qRnMwMXWYAd43VSSH0U7-FukP_mx__OKR2ghPSAbz9zmXi63wC8H7aJAOxnQ-8Yfn45gTtUW8DCWX89bc7eBph3zcFfduKDrcZg-1ND39-L/s280/Screen+shot+2011-08-08+at+22.16.02.png)
![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgPV-RecMVuznYT1POf8Qp2BsV1cB7mHAK478kDPjzyaWSKy2vunfDLXA2-1Pq2mXUYddNmSxmm_LQOTZFIqJTFueKkxUcg16LL3kTrAjusxny_hSPnXtZ5x9_TTEyoCWUHQkSn5iZxzEI3/s280/Screen+shot+2011-08-08+at+22.16.14.png)
![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjTzAf4SvD4C8GTpLWDgVOugoVlBtL60GLiKHvPRHKS1ctOHhj0q9BgUGDDE8fJDVIbf0XDKgRO9fayXKnGkfyg0RL-mLspKnsUK-WO3r5JGwbbyEyNkF8sb9XuS0KmfZRBavgfuU5rCkb0/s280/Screen+shot+2011-08-08+at+22.16.28.png)
However, in terms of daily percentage changes, today's rise of 50% is the fourth highest daily increase since the beginning of the VIX history and the highest since January 2008.
In terms of 1mo dynamic semi-variance (measuring only variance for the days of increasing VIX index, in other words - only for those days when risk rises), the last chart above clearly shows that we are in for a treat in these markets.
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