VIX All-Time Lows and Sub-10 Days Overview

This is an overview of all-time lowest VIX values and sub-10 days. We will discuss:

Here is a similar page for VIX all-time highs.

All-Time Lowest VIX Closes

All-time lowest VIX close was 9.14 on Friday 3 November 2017.

The 20 lowest VIX closes have been the following:

Fri 03 Nov 2017 = 9.14
Wed 03 Jan 2018 = 9.15
Thu 05 Oct 2017 = 9.19
Thu 04 Jan 2018 = 9.22
Fri 05 Jan 2018 = 9.22
Wed 22 Dec 1993 = 9.31
Mon 11 Dec 2017 = 9.34
Fri 21 Jul 2017 = 9.36
Mon 06 Nov 2017 = 9.40
Fri 15 Dec 2017 = 9.42
Tue 25 Jul 2017 = 9.43
Mon 24 Jul 2017 = 9.43
Mon 02 Oct 2017 = 9.45
Thu 23 Dec 1993 = 9.48
Tue 03 Oct 2017 = 9.51
Fri 29 Sep 2017 = 9.51
Fri 14 Jul 2017 = 9.51
Mon 08 Jan 2018 = 9.52
Mon 18 Dec 2017 = 9.53
Thu 28 Sep 2017 = 9.55

Almost all 20 all-time lowest VIX closes occurred in 2017 or January 2018, except two consecutive days 22-23 December 1993 – just before the holidays.

Another interesting observation is that none of the 20 lowest closes occurred in the five months from February to June.

The figures include VIX data up to and including 6 February 2018.

Sub-10 VIX Closes by Year

Looking at the chart, you can clearly identify three periods of long-term historical VIX lows: 1993-1994, 2005-2007, and 2017-2018. These have been the only years when the VIX got below 10.

Out of the 68 sub-10 closes, 52 occurred in 2017 and 7 in January 2018:

1993 = 4
1994 = 1
2006 = 3
2007 = 1
2017 = 52
2018 = 7

Possibly we can consider 2014 a fourth long-term VIX low, although the index didn’t get below 10 at that time. Lowest close was 10.32, intraday low 10.28 – both reached on 3 July 2014, the day before 4 July holiday.

All-Time Lowest Intraday VIX

All-time lowest intraday VIX was 8.56 on Friday 24 November 2017.

It was Black Friday – the day between Thanksgiving and the weekend, which certainly played a role. Markets closed at 1pm, options at 1:15 (early close is quite common around important holidays). The record VIX low occurred very briefly just a few minutes before close. Other than that the VIX stayed well above 9 throughout the trading session and closed at 9.67 just a few minutes after reaching the 8.56 low.

The list below shows 20 days with the lowest intraday VIX values:

Fri 24 Nov 2017 = 8.56
Wed 26 Jul 2017 = 8.84
Mon 27 Dec 1993 = 8.89
Wed 20 Dec 2017 = 8.90
Thu 04 Jan 2018 = 8.92
Wed 03 Jan 2018 = 8.94
Fri 03 Nov 2017 = 8.99
Fri 05 Jan 2018 = 9.00
Tue 25 Jul 2017 = 9.04
Mon 12 Jul 1993 = 9.11
Fri 06 Oct 2017 = 9.11
Thu 05 Oct 2017 = 9.13
Thu 27 Jul 2017 = 9.16
Thu 23 Dec 1993 = 9.17
Tue 19 Dec 2017 = 9.18
Thu 21 Dec 2017 = 9.20
Tue 12 Dec 2017 = 9.21
Fri 15 Dec 2017 = 9.22
Mon 18 Dec 2017 = 9.24
Mon 24 Jul 2017 = 9.26

There have been only 7 days in the VIX history (going back to January 1990) when the index got below 9 at some point during the trading session. Before 2017 there was only one such day: 27 December 1993, which was again a day near holidays – the Monday after Christmas.

Effect of Holidays

You may have noticed that many of the record low days were around holidays. This is not a coincidence – there are two main reasons why extremely low VIX values are more likely around holidays.

Firstly, trading and general business activity (and therefore the probability of market moving news) tends to be lower around holidays, which translates to lower realized as well as implied volatility. Even when the holiday is over it may take a few business days until the business world gets back to its usual pace, which is why we often see low volatility not only before, but also immediately after major holidays. Of course, exceptions do happen.

The second reason is the way the VIX index is calculated from option prices – using calendar days as time measure, therefore counting weekends and holidays same as regular trading days. Because option traders know that market moving news and events are less likely on non-business days, option prices often decline just before close on Friday or before holidays, which translates to lower VIX. This second reason of course only explains low VIX on days before holidays, not after.

Days When the VIX Never Got above 10

One last piece of statistics, which is particularly interesting for the potential trading of VIX lows, is the following:

How long can the VIX stay below 10 once it gets there?

Usually not very long. So far, there have been only 25 days in history when the VIX stayed below 10 for the entire trading session (in other words, daily VIX high was below 10):

Thu 04 Jan 2018 = 9.31
Tue 25 Jul 2017 = 9.52
Fri 05 Jan 2018 = 9.54
Thu 23 Dec 1993 = 9.55
Thu 05 Oct 2017 = 9.62
Wed 03 Jan 2018 = 9.65
Wed 26 Jul 2017 = 9.66
Mon 06 Nov 2017 = 9.74
Tue 03 Oct 2017 = 9.75
Mon 27 Dec 1993 = 9.79
Fri 29 Sep 2017 = 9.83
Wed 20 Dec 2017 = 9.85
Thu 21 Dec 2017 = 9.86
Wed 22 Nov 2017 = 9.88
Wed 04 Oct 2017 = 9.88
Mon 08 Jan 2018 = 9.89
Mon 18 Dec 2017 = 9.89
Fri 03 Nov 2017 = 9.91
Tue 12 Dec 2017 = 9.92
Wed 19 Jul 2017 = 9.94
Fri 24 Nov 2017 = 9.96
Tue 28 Dec 1993 = 9.96
Mon 24 Jul 2017 = 9.97
Fri 13 Oct 2017 = 9.98
Fri 21 Jul 2017 = 9.98

Consecutive Days below 10

The longest the VIX had stayed below 10 (consecutive sub-10 VIX highs) was four trading days. This happened on two occasions: 21-26 July 2017 and 3-8 January 2018. All the multi-day sub-10 periods are listed below, with individual day VIX highs:

Thu 23 Dec 1993 = 9.55
Fri 24 Dec 1993 = holiday
Mon 27 Dec 1993 = 9.79
Tue 28 Dec 1993 = 9.96

Fri 21 Jul 2017 = 9.98
Mon 24 Jul 2017 = 9.97
Tue 25 Jul 2017 = 9.52
Wed 26 Jul 2017 = 9.66

Tue 03 Oct 2017 = 9.75
Wed 04 Oct 2017 = 9.88
Thu 05 Oct 2017 = 9.62

Fri 03 Nov 2017 = 9.91
Mon 06 Nov 2017 = 9.74

Wed 22 Nov 2017 = 9.88
Thu 23 Nov 2017 = holiday
Fri 24 Nov 2017 = 9.96

Wed 20 Dec 2017 = 9.85
Thu 21 Dec 2017 = 9.86

Wed 03 Jan 2018 = 9.65
Thu 04 Jan 2018 = 9.31
Fri 05 Jan 2018 = 9.54
Mon 08 Jan 2018 = 9.89

Buying the VIX

From the above it would seem reasonable to buy the VIX when it gets below 10. More often than not (except the periods listed above) it returns above 10 the same day or the day after.

Unfortunately it is not that simple.

The problem is that you can’t buy the VIX index directly. To set up a position that would profit from rising VIX or rising volatility in general, you have several alternatives, but buying the index itself is not among them. The alternatives are:

1. Buy options on the S&P500 index or the SPY ETF. The position should be long vega (long volatility) and ideally delta neutral (not exposed to directional moves in the S&P500). Possible strategies include long straddle, long strangle, or short condor or butterfly. Note that you should also pay attention to different strikes having different implied volatility (the VIX index is just a sort of average – see how it is calculated). You will also have to keep managing and adjusting the position if you want to keep it (more or less) delta neutral. In other words, it is not as simple as “buy SPY options”.

2. Buy VIX futures. This is also less simple than it would seem, as the relationship between the spot VIX index and VIX futures is more complex than, let’s say, the relationship between the S&P500 and ES futures.

3. Buy a VIX ETF or ETN such as the VXX (long short-term VIX futures) or UVXY (leveraged 2x long short-term VIX futures). This is effectively the same thing as buying VIX futures directly, just standardized with constant maturity, and more convenient, especially for small investors.

4. Buy VIX call options (or short VIX put options).

All these alternatives have one thing in common. Holding these positions costs money with every passing day. Options have time value which constantly decays. VIX futures are in contango (their price tends to decline as expiration gets closer) most of the time, especially when the spot VIX index is very low (more detailed explanation here).

It is not uncommon for the spot VIX index to drop below 10 and VIX futures barely move at the same time, because the market knows that the VIX will most likely return above 10 very soon. Therefore, seeing the VIX at historically low levels is not a sufficient reason for a long VIX trade. You also need to know how much it costs to set up and maintain a long volatility position – otherwise you can be right about the VIX direction, but still lose money on the trade.

For more details about the specifics, dangers, and strategies see this page: Trading the VIX.