Last Week's VIX Move One of the Largest on Record.

The CBOE has a blog post describing the volatile moves in the VIX last week. In fact, last week's decline was the largest weekly decline in the VIX's history. The blog post is presented below.

VIX This Week – Record Cliff Dive (Down 39.1%) and Record Futures Volume Days by Matt Moran

by  weyker on 01-04-2013 03:59 PM

The CBOE Volatility Index® (VIX®) closed at 13.83 today and was down a record 39.1% this week as the U.S. Congress approved legislation to address the fiscal cliff uncertainties.

VIX – BIGGEST 1-WEEK MOVES SINCE ITS INCEPTION IN JAN. 1990 www.cboe.com/VIX
Here is a list of the weeks when VIX had its 5 biggest down moves and its 5 biggest up moves (in % terms) since the inception of its data history in 1990 --

% Change            Week Ending  
-39.1%                  04-Jan-2012     (After “fiscal cliff” resolution)
-30.9%                  24-Aug-2007
-28.4%                  15-Mar-1991 (Gulf War)
-26.7%                  25-Mar-2011
-25.2%                  28-Sep-2001   (After 9/11)
52.5%                    22-Jan-2010
53.4%                    4-Feb-1994
55.0%                    10-Oct-2008   (Financial crisis)
75.9%                    2-Mar-2007
85.7%                    7-May-2010   (Flash crash)

VXO INDEX – BIGGEST 1-WEEK MOVES FROM 1986 THROUGH 1989   www.cboe.com/VXO
In addition to the VIX Index, CBOE also offer an index designed to track the expected volatility of S&P 100 Index – the CBOE S&P 100 Volatility Index (VXO).  www.cboe.com/VXO.   The biggest 1- week % up- and down moves for the VXO Index prior to 1990 were up 171.7% the week ending 23-Oct-1987, and down 37.9% the following week that ended 30-Oct-1987.

TWO RECORD VOLUME DAYS FOR VIX FUTURES
As investors adjusted their risk tolerances in light of the news on fiscal negotiations, VIX futures had all-time record volume days on both Dec. 31^st (212,800 contracts) and on Jan. 1^st (221,323 contracts).

VIX – ONE-WEEK PRICE CHART
Below is a recent one-week price chart on VIX.

MORE INFORMATION ON VIX AND RISK MANAGEMENT
To learn more about use of VIX options and futures for risk management, please visit www.cboe.com/VIX

Attachments:

Does this mean anything for the market? I am unsure. There is just not enough data to draw any conclusions based solely on extreme moves. I revert to the base model that states when the average standard model is between the established break point, the daily standard VIX is below -1.5, and the market trend is up then the bias is towards the upside.

One thought I will keep in the back of my mind is one of adages from chaos theory- large events tend to follow and are caused by large events.