VIX All-Time Highs and Biggest Spikes

This is an overview of all-time highest VIX closes, intraday values, and biggest spikes.

The figures include VIX data up to and including 9 October 2020.

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

All-Time Highest VIX Closes

All-time highest VIX close was 82.69 on 16 March 2020.

Before March 2020, all-time highest VIX close was 80.86 on 20 November 2008.

10 highest VIX closes

Mon 16 Mar 2020 = 82.69
Thu 20 Nov 2008 = 80.86
Mon 27 Oct 2008 = 80.06
Fri 24 Oct 2008 = 79.13
Wed 18 Mar 2020 = 76.45
Tue 17 Mar 2020 = 75.91
Thu 12 Mar 2020 = 75.47
Wed 19 Nov 2008 = 74.26
Fri 21 Nov 2008 = 72.67
Thu 19 Mar 2020 = 72.00

Before March 2020, out of the 100 all-time highest VIX closes, 92 occurred during the financial crisis of 2008 and 2009. Therefore, it may be interesting to look at highest closes outside years 2008, 2009, and 2020 (VIX history goes back to 1990).

Highest close outside these two periods was 48.00 on 8 August 2011.

10 highest VIX closes ex 2008, 2009, 2020

Mon 08 Aug 2011 = 48.00
Thu 20 May 2010 = 45.79
Thu 08 Oct 1998 = 45.74
Mon 03 Oct 2011 = 45.45
Thu 10 Sep 1998 = 45.29
Mon 05 Aug 2002 = 45.08
Tue 23 Jul 2002 = 44.92
Mon 31 Aug 1998 = 44.28
Fri 11 Sep 1998 = 43.74
Thu 20 Sep 2001 = 43.74

We can see many different years and months represented in the top 10. Besides the extraordinary events of 2008-2009 and 2020, the biggest VIX spikes tend to reach the 40’s.

All-Time Intraday VIX Highs

All-time highest intraday VIX value was 89.53 reached on 24 October 2008.

The VIX closed “only” at 79.13 on that day – the fourth highest close in history (and third highest in 2008).

The next four (so four out of five highest intraday VIX days) are from March 2020. The next five are again from October and November 2008.

10 highest intraday VIX days
Values are daily VIX highs

Fri 24 Oct 2008 = 89.53
Wed 18 Mar 2020 = 85.47
Tue 17 Mar 2020 = 84.83
Thu 19 Mar 2020 = 84.26
Mon 16 Mar 2020 = 83.56
Mon 27 Oct 2008 = 81.65
Thu 20 Nov 2008 = 81.48
Thu 16 Oct 2008 = 81.17
Fri 21 Nov 2008 = 80.74
Thu 23 Oct 2008 = 79.43

Before March 2020, out of the 100 days with highest intraday VIX values, 87 were in 2008 and 2009.

The highest intraday VIX excluding 2008-2009 and March 2020 was 24 August 2015, with VIX high at 53.29.

10 highest intraday VIX days ex 2008, 2009, 2020
Values are daily VIX highs

Mon 24 Aug 2015 = 53.29
Tue 06 Feb 2018 = 50.30
Thu 08 Oct 1998 = 49.53
Fri 21 Sep 2001 = 49.35
Tue 28 Oct 1997 = 48.64
Wed 24 Jul 2002 = 48.46
Fri 21 May 2010 = 48.20
Fri 11 Sep 1998 = 48.06
Mon 08 Aug 2011 = 48.00
Tue 09 Aug 2011 = 47.56

Biggest VIX Spikes

Two biggest close-to-close VIX point changes are now from March 2020.

The most recent in the top 10 spikes is Thursday 11 June 2020 at rank 8.

It is quite interesting that the financial crisis of 2008-2009 does not occupy that many of the top places here – there are also days from 2011, 2015, and 2018 (and this is absolute point changes, not percentage changes).

10 biggest close-to-close VIX spikes
Values show absolute VIX points change, previous close, close

Mon 16 Mar 2020 = +24.86 from 57.83 to 82.69
Thu 12 Mar 2020 = +21.57 from 53.90 to 75.47
Mon 05 Feb 2018 = +20.01 from 17.31 to 37.32
Wed 22 Oct 2008 = +16.54 from 53.11 to 69.65
Mon 08 Aug 2011 = +16.00 from 32.00 to 48.00
Wed 15 Oct 2008 = +14.12 from 55.13 to 69.25
Mon 01 Dec 2008 = +13.23 from 55.28 to 68.51
Thu 11 Jun 2020 = +13.22 from 27.57 to 40.79
Mon 24 Aug 2015 = +12.71 from 28.03 to 40.74
Mon 09 Mar 2020 = +12.52 from 41.94 to 54.46

Even more remarkably, six out of the top ten biggest daily VIX spikes occurred on Monday (rank 11 is also a Monday).

VXO (Old VIX) All-Time Highs

While the VIX above 80 as it was in 2008 and March 2020 seems extremely high, the all-time highs would have been much higher had the VIX been calculated in the 1980’s. Data for the VIX index is available starting from 1990, but big part of that was back-calculated, because VIX calculation method changed very significantly in 2003. Data for the old method is still being published by CBOE under the symbol VXO and goes back to 1986 – also covering the 1987 stock market crash.

The Black Monday (19 October 1987) was the all-time highest VXO close (150.19) and close-to-close increase (+113.82 ! from 36.37 to 150.19).

All-time intraday high was 172.79 on 20 October 1987 (Tuesday after Black Monday).

See some statistics below for full VXO history and comparison of 1987, 2008 and 2020 highs:

10 highest VXO closes

Mon 19 Oct 1987 = 150.19
Tue 20 Oct 1987 = 140.00
Mon 26 Oct 1987 = 113.33
Thu 22 Oct 1987 = 102.22
Fri 23 Oct 1987 =  98.81
Tue 27 Oct 1987 =  97.51
Mon 16 Mar 2020 =  93.85
Thu 12 Mar 2020 =  89.80
Wed 18 Mar 2020 =  89.61
Thu 20 Nov 2008 =  87.24

10 highest intraday VXO days
Values are daily VXO highs

Tue 20 Oct 1987 = 172.79
Mon 19 Oct 1987 = 152.48
Wed 21 Oct 1987 = 138.53
Mon 26 Oct 1987 = 116.04
Thu 22 Oct 1987 = 116.04
Tue 27 Oct 1987 = 106.77
Fri 10 Oct 2008 = 103.41
Wed 28 Oct 1987 = 103.06
Fri 23 Oct 1987 = 102.79
Wed 18 Mar 2020 = 101.02

10 biggest close-to-close VXO spikes
Values show absolute VXO points change, previous close, close

Mon 19 Oct 1987 = +113.82 from  36.37 to 150.19
Mon 16 Mar 2020 =  +31.60 from  62.25 to  93.85
Thu 22 Oct 1987 =  +28.31 from  73.91 to 102.22
Thu 12 Mar 2020 =  +27.56 from  62.24 to  89.80
Mon 05 Feb 2018 =  +19.12 from  16.82 to  35.94
Mon 08 Aug 2011 =  +17.28 from  32.85 to  50.13
Mon 09 Mar 2020 =  +16.21 from  45.77 to  61.98
Thu 11 Jun 2020 =  +15.02 from  26.32 to  41.34
Fri 08 Jan 1988 =  +15.00 from  34.36 to  49.36
Wed 22 Oct 2008 =  +14.62 from  55.78 to  70.40

VXO calculation method and even the underlying market (S&P 100) is different from the VIX, although the differences in values are mostly small. The data suggests that VXO tends to reach higher highs than VIX on same days, so 1987 VIX highs might not have reached 150 (close) or 170 (intraday), but would almost certainly have been way above 100.

The VIX could have been even higher during big market crashes earlier in history (especially in the 1920’s), but we will never know that, because options were not traded at those times and there is no way to calculate or estimate anything even remotely similar to the VIX (because the VIX is calculated from option prices).

VIX All-Time Lows

Here you can see similar statistics for VIX all-time lows and sub-10 days.

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