Second Biggest Weekly VIX Drop In History

Tyler Durden's picture

With the VIX closing the day and the week at approximately a 17.70 level, it marks a 40% decline from its closing print recorded on March 16, when it hit 29.4, just as the Nikkei was about to flash crash to the high 7,000 range. This represents the 2nd largest closing drop in the history of the volatility index, beaten only by the weekly VIX drop from November 4, 2008 (when the VIX dropped from 80 to 47.7). And stunningly, on an intraday basis, when the VIX dropped to the day's lows of just over 17, it briefly represented the biggest weekly drop in the VIX ever. Of course back in 2008 each and every day it seemed as if the world was ending and both stocks and vols moved around like electrons shuffled around in the LHC. This time around, with the apocalypse yet to be delayed (we will not list all the news that have hit the tape in the past month), one wonders: is the market so habituated by the Siren song of the Bernanke Put that it believes nothing can ever dent the smooth Russell 2000 upward slope ever again? And what happens when the Central Planner hubris is once again exposed as the hollow perpetuation of an economic fallacy backed simply by trillions of pieces of linen-diluted cotton? We shall find out soon enough.

Data courtesy of John Poehling, jr

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slow_roast's picture

What volatility?  :p

ms1408's picture

Might this be related to the earlier post on those huge institutional long positions on the S&P? It seems that for some reason people are going all in on the S&P and are buying fewer puts.

Zero Govt's picture

what Fed/PPT interjections? ....the volume is missing, we're running on empty!

Id fight Gandhi's picture

My bet is that itll shoot straight up.

BearishFeijoadaSushi's picture

I've learned that:

vix <= 15 = STFT

vix >= 20 = BTFD

Mont Bleu's picture

I never imagined I would have one of my worse weeks with an average price of 21.87 on this April VIX Futures position

tekhneek's picture

Oh good. I'm just going to sell my silver then.

equity_momo's picture

This is like the sea going out right before the Tsunami comes a crashing in.

strenue's picture

volatility is draining out of the market through the large vertical crack in the reality vessel.

Hard1's picture

"Is the market so habituated by the Siren song of the Bernanke Put that it believes nothing can ever dent the smooth Russell 2000?


Short answer: YES!!!!  It doesn't matter if the companies in the index are more valuable or the dollar is less valuable..just BTFD...oh and the VIX can stay low, as the volatility of the declining value of the companies in the S&P vs the declining value of the dollar will be wishes there was a golden VIX which measured the equities vol vs gold...that would be worthwile to own, buy calls, etc.

TradingJoe's picture

Wer all know what happened after the big drop, eh!

JackES's picture

I don't care; actually I covered shorts and went long in earlier of this week.

Did you buy Jap nuke dip?

10kby2k's picture

After the fact trading claims are not allowed. If want an ego your trade before you know the outcome.

Oh yea, I went short the VIX this week....I'll tell you next friday what i'm doing monday.

LongSoupLine's picture

you hear that?'s the faint sound of a stampede in the distance.

Id fight Gandhi's picture

Who the fuck would go long into the weekend with Syria, Yemen, oh all of MENA falling apart, plus portugal plus Canada and the nuke crisis is Japan getting worse.

Consumer confidence down? Nobody cares. Gas prices surge eh.

Hard1's picture

Who the fuck would not? if anything has a downtick on any of those old stories or any new piece of news over the weekend...well the Bernankank any other central bank involved would shower us with money to ensure that we stay long and calm.

Id fight Gandhi's picture

No money showers for us... Only for rich bankers and their in crowd.

Hard1's picture

What do you mean? You haven't got the FEDwire TAP installed at home????? ohhh maaan you have missed the benefits of QE bit time

poor fella's picture

Yep. Everyone wants to be the last man standing. Oh wait, last man standing gets shit. First man out gets paid. The rest get trampled. I DO love a good complacent market, especially being out for the most part. It's quite a show.

SheepDog-One's picture

There was some volatility? When?

reader2010's picture

The great risk is there is no any preceived risk.

monkeyfaction's picture

When BTFD stops working and a month later everyone realises it has stopped working, it will be a thing of beauty.

I can't wait to watch CNBC that day.


Thurifer's picture

Coming soon : Due to unforseen technical issues, intraday and closing prices for the Dow and S&P will no longer be available from their respective markets. In order to continue providing the public with this invaluable information, henceforth Fed Chairman Ben Bernanke will issue a press release following the close of business each day with market closing numbers.


These markets will never be allowed to drop. Period

SheepDog-One's picture

Thats ridiculous. No, there will be a market drop, when they need fear and panic, their most reliable tool.

Misean's picture

I use all my custom spread sheets to track Mat prices on the AH these days. Real activity there. Mageweave cloth is throught the roof this week.

FischerBlack's picture

That has to be world of warcraft or something.

SqueekyFromm's picture

Why is it surprising that VIX has dropped, since it is made up in large part from petrochemicals??? My mother used to put it on me when I was little every time I got a cold, and I used to hate to go to school smelling like VIX. I bet that VIX would go back up if it just didn't smell so bad and hurt your nose. People just don't pay enough attention to their noses sometimes, which is probably why it got that high in the first place, but you know, sometimes you just have to go with your nose, which seems to have happened here. People just got tired of the bad smell.

Squeeky Fromm, Girl Reporter

Misean's picture

So you're saying inflation is hitting the cost of blow?

Dr. Porkchop's picture

It isn't just for runny noses. It helps numb the bum when the bernanke bends you over.

DosZap's picture

Now, that is WAY more than we need to know.

NotApplicable's picture

But it burns! Oh, how it burns.

FischerBlack's picture

Who's buying vol anyway? It can't be all retail volume can it?

DaBernank's picture

I can't believe I'm the first one to say it - BTF(VIX)D

michigan independant's picture

But news is by definition unpredictable and, thus, resulting price changes must be unpredictable and random. As a result, prices fully reflect all known information, and even uninformed investors buying a diversified portfolio at the tableau of prices given by the market will obtain a rate of return as generous as that achieved by the experts. BTFD is easier to type than greed and fear or to appeal before the bell curve pricks came along first published in 1973, a blindfolded chimpanzee throwing darts at the Wall Street Journal could select a portfolio that would do as well as the experts.

apeakunderthehood's picture


Is Bernanke Going to Announce a Fragrance Line?

Marc45's picture

Contradictions do not exist. Whenever you think you are facing a contradiction, check your premises. You will find that one of them is wrong.

  - Ayn Rand

StychoKiller's picture

Words to live by.  Unfortunately, Ayn Rand did not learn anything about Quantum Mechanics, which is chock-full of paradoxes!

overmedicatedundersexed's picture

 I told myself :this week is not the time to go short!! I cannot say it enough, do not go short!!

shit ,I did -on SDS- all in on friday..why am I happy??

Ruffcut's picture

Vix is of the CBOE and they be as crooked as the rest of the wall street, but they are in chitown.

It is more a useful indication that options are fearing some action or event and that market makers can collect more premium, fast and furious. Then when it settles down, the makers watch with glee to how many bagholders they created. Ching, ching, bada bing....

LawsofPhysics's picture

Rally fucking on! (and hedge accordingly)

dogismyth's picture