Historical VIX Lows Since 1993

The VIX closed at 9.17 yesterday and as the ES is pushing higher in early morning trading I am starting to wonder if we are getting close to breaking the old record of 8.89 which was registered on December 22, 1993. Which is probably the clickbait you’re finding plastered all over the financial MSM right now in eager anticipation of a new ‘record low’. Which however all by itself is relatively meaningless. Fortunately here at Evil Speculator we always pop open the hood and look at what’s really driving things – it’s time to crunch some numbers!

Crunching The VIX Numbers

First thing I did was to pull the entire historical daily VIX data from Yahoo. Which usually isn’t my preferred go-to source for statistical research, but in my defense – my main data feed was occupied plus I think we should be fine with adjusted daily data. I will be showing highs, lows, and of course closes from Jan 2nd 1990 until yesterday, which amounts to exactly 6945 trading days. Keep in mind that the VIX as we know it was launched in September 2003 and that all the data prior to that is considered adjusted VXO data.

Single Digit Closes

First I wanted to know how many times the VIX actually closed in single digits and the answer is 24 times: 4 times in 1993, once in 1994, 3 times in 2006, only once in 2007, and a whopping 15 times in 2017! An absolutely unchallenged series of record lows since the CBOE introduced its nifty measure of implied volatility. Or as General McAuliffe would say: NUTS!

Lowest Closes

Now the lowest of the VIX until this very day was delivered by Santa personally on December 22nd 1993. But I frankly can’t give that one too much credence as the VIX had apparently just been launched (can someone double check on that?) and I’m pretty certain that the quoting process and reporting mechanisms were still being sorted out.

December 1993

For some additional context here’s the entire month of December 1993 – we have the lowest close on Friday the 22nd and the lowest low on Tuesday the 27th. Santa sure was generous back in those days! I for one remember being extremely naughty which is why I completely missed out on all this.

Lowest Lows

So for a bit more context I sorted the data according to the 10 lowest lows and we have 1993 represented four times, 2006 one time, and of course 2017 five times.

What Have We Learned?

First up I am tempted to simply dismiss 1993 as an aberration and focus on everything else. Ladies and gentlemen, we can rebuild it. We have the technology. We have the capability to build stats without the December 1993 data:

And there you have it. From 19 occurrences the vast majority of VIX closes < 10 registered in 2017 with the very lowest last week on the 21st of July, followed by yesterday, and the 14th on 3rd place. The top ten lowest closes all happened this year, and the top 10 lowest lows also this year except one single instance in December of 2006, which apparently somehow slipped through the cracks.

Take Away

Do I really need to spell it out? We are in completely uncharted territory here and with the exception of December of 1993 implied volatility has never been this low and thus risk protection this cheap. Draw your own conclusions and better yet, consider whether portfolio risk protection may be a good investment at this stage. I’m thinking OTM long term puts but be creative.

By the way, as I’m typing this the VIX is ticking at 9.17 and previously dropped to 9.04 – a new record. We even  may be seeing readings < 9 this week. NUTS!

Campaign Updates

Apologies for the belated update but writing the code for crunching the VIX stats above took me a bit longer than anticipated. Anyway, the E-Mini is holding strong as mentioned earlier and I’ve now advanced my trail to below 2466.7. Let’s see how far she can go!

Bonds got hammed but fortunately the trail on my ZB campaign was able to lock in one R. Heck, better than a kick in the shin, right? A new entry here may be forthcoming this week, so keep dropping by. Better yet, join as a subscriber!

Soybeans is looking iffy and all that gaping action kind of freaks me out. I’m making a rare exception and will close this one out. As you know I am very resistive to interfering in ongoing campaigns but intra day realized volatility is getting a bit too much for my comfort level.

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Public Service Announcement

After taking note of the VIX situation I spent over four hours putting together the stats and then this post. I was actually supposed to work on an internal project today which has now been postponed to tomorrow. Thus unless something very dramatic happens I will most likely not put up a post tomorrow as I need to meet an internal deliverable. See you guys on Thursday!