Vix Peaked in February – First Time Ever!

Nicholas Colas tells us that the weirdest thing to happen this year was the Vix peaking in February. Statistically, there is some seasonality to volatility and the Vix is more likely to rip to its highest levels in October or August of a given year. In 2016, for the first time on record, it peaked in February.

Here’s the Chief Strategist at global brokerage firm Convergex with more:

Here are the comparisons between the February 11th close for the VIX and the S&P 500 relative to levels around Brexit and the U.S. election:

  • February 11th low on U.S. macro concerns: S&P closes at 1829, VIX at 28.14. The low close for the year.
  • June 27, post-Brexit bottom: S&P closes at 2000 (9% higher than the February levels), the VIX at 25.8 (one day prior).
  • November 4, pre U.S. election jitters: S&P 500 closes at 2085 (14% higher than the February levels), the VIX at 22.51.

News headlines come and go, of course, but there is something unique about 2016 and the cadence of these measurements: the VIX has never before peaked in February.  Now, we aren’t talking about the longest time series here – the modern VIX dates to 1990. But still, in 26 years the VIX has established a reasonably predictable seasonality.

Josh here – lowering my sunglasses to the tip of my nose to ask “So, Nick, would you say that this action is……..Unpresidented?”

The lesson here is that what “normally” happens is not what is going to happen, and nothing is out of the question. I don’t care if you have 26 years worth of data or 260 years – at the end of the day, we’re always dealing in probabilities and not certainties.


The Weirdest Thing About 2016 Is…
Convergex – December 20th, 2016

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