Is This the Return of Volatility? | $VIX

06/30/15 03:13PM EDT

Volatility

Is This the Return of Volatility? | $VIX - z turb

This is one of the biggest things that gets people run over on the long side. When volatility storms back in a hurry (i.e. a volatility move of 34% yesterday on front-month VIX) that’s going to leave a mark. 

To put this into context, it was the first down day (of over 2%) for the S&P 500 since October which is a long time ago.  In the last two years, we’ve only had five market-down days of over 2%. Only five.

Is This the Return of Volatility? | $VIX - zz 06.30.15 chart

Now if that sounds like “not a lot of market-down days,” you’re right. If you go back to 2011, you had twenty market-down days of greater than 2%. And that’s when what was happening?

  • Europe was slowing
  • Europe went into crisis
  • US blamed their own slowing on Europe
  • Bonds went up

Oh the memories, the memories… 

© 2024 Hedgeye Risk Management, LLC. The information contained herein is the property of Hedgeye, which reserves all rights thereto. Redistribution of any part of this information is prohibited without the express written consent of Hedgeye. Hedgeye is not responsible for any errors in or omissions to this information, or for any consequences that may result from the use of this information.