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 Close

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
Thu 05 Oct 2017 = 9.19
Wed 22 Dec 1993 = 9.31
Mon 11 Dec 2017 = 9.34
Fri 21 Jul 2017 = 9.36
Mon 06 Nov 2017 = 9.40
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
Thu 28 Sep 2017 = 9.55
Fri 08 Dec 2017 = 9.58
Thu 20 Jul 2017 = 9.58
Fri 22 Sep 2017 = 9.59
Wed 26 Jul 2017 = 9.60
Fri 13 Oct 2017 = 9.61
Wed 04 Oct 2017 = 9.63

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

The figures include VIX data up to and including 11 December 2017.

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.

There have been only 4 days in the VIX history (going back to January 1990) when the index got below 9 at some point during the trading session.

The list below shows 21 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
Fri 03 Nov 2017 = 8.99
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
Mon 24 Jul 2017 = 9.26
Mon 11 Dec 2017 = 9.28
Wed 22 Dec 1993 = 9.28
Fri 20 Oct 2017 = 9.29
Tue 07 Nov 2017 = 9.29
Tue 03 Oct 2017 = 9.30
Fri 21 Jul 2017 = 9.30
Wed 22 Nov 2017 = 9.32
Fri 29 Sep 2017 = 9.36
Mon 02 Oct 2017 = 9.37
Fri 09 Jun 2017 = 9.37

Long-Term VIX Lows

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

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.

Effect of Weekends and Holidays

You may have noticed that many of the record low days were Fridays or days before holidays. This is not a coincidence.

It is quite common for the VIX index, or implied volatility in general, to show unusually low values just before weekends or holidays. This is due to the way volatility enters option price calculations and due to option traders knowing that a significant market moving event is less likely on non-business days.

In sum, record low VIX values are more likely in the second half of the week or before holidays (although they are still perfectly possible on Mondays or Tuesdays, as the data also shows).

The Record Low 2017

Another thing you may have noticed from looking at the data is the absolutely dominant position of the year 2017.

In the recent months we have seen some of the lowest VIX values in history. Measured by the number of sub-10 VIX days, 2017 has been unprecedented.

From January to November 2017, we have seen as many as 79 days when the VIX got below 10 at some point during the trading session, including 44 days when it closed below 10.

Compare this to the 27 years from 1990 to 2016, when there were only 18 days with sub-10 intraday VIX, including 9 days with sub-10 VIX closes in that entire period.

Sub-10 VIX Closes before 2017

Wed 22 Dec 1993 = 9.31
Thu 23 Dec 1993 = 9.48
Mon 27 Dec 1993 = 9.70
Tue 28 Dec 1993 = 9.82
Wed 24 Jan 2007 = 9.89
Tue 21 Nov 2006 = 9.90
Fri 28 Jan 1994 = 9.94
Thu 14 Dec 2006 = 9.97
Mon 20 Nov 2006 = 9.97

You can see that all these sub-10 closes occurred in only two periods: winter 1993-1994 (the first four are the quiet days around Christmas 1993) and winter 2006-2007. The lowest summer VIX close (actually, the lowest for all months from March to October) before 2017 was 10.23 on 20 July 2005.

Lowest Intraday VIX Days before 2017

Looking at historical intraday lows, there were only 18 sub-10 days before 2017, including of course the 9 days with sub-10 close listed above.

Mon 27 Dec 1993 = 8.89
Mon 12 Jul 1993 = 9.11
Thu 23 Dec 1993 = 9.17
Wed 22 Dec 1993 = 9.28
Fri 15 Dec 2006 = 9.39
Fri 28 Jan 1994 = 9.59
Thu 14 Dec 2006 = 9.64
Mon 13 Dec 1993 = 9.65
Tue 28 Dec 1993 = 9.70
Wed 14 Feb 2007 = 9.70
Wed 22 Nov 2006 = 9.81
Tue 21 Nov 2006 = 9.84
Wed 24 Jan 2007 = 9.87
Wed 20 Jul 2005 = 9.88
Mon 20 Nov 2006 = 9.91
Thu 25 Jan 2007 = 9.95
Fri 02 Feb 2007 = 9.96
Fri 16 Feb 2007 = 9.98

The periods represented are again mostly the winters of 1993-1994 and 2006-2007, with only 2 days outside these: 12 July 1993 and the already mentioned 20 July 2005.

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 17 days in history when the VIX stayed below 10 for the entire trading session (in other words, daily VIX high was below 10):

Tue 25 Jul 2017 = 9.52
Thu 23 Dec 1993 = 9.55
Thu 05 Oct 2017 = 9.62
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 22 Nov 2017 = 9.88
Wed 04 Oct 2017 = 9.88
Fri 03 Nov 2017 = 9.91
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

There were only five occasions in history when the VIX never got to 10 or above for more than one trading day (the values below are VIX highs for the particular day):

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

Buying the VIX

From the above it would seem reasonable to buy the VIX when it gets below 10. Historically, the longest you would have to wait for it to get above 10 was 4 trading days and that was an outlier – more often than not, 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. Maintaining 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.