By the Numbers

CBOE Volatility Close to Low for the Year

With good news from Walmart and Goldman CEO Blankfein saying we are closer to the end of the current financial crisis than the beginning, the markets are rallying. Is Blankfein right or is it the calm before the storm? The S&P Financials are up .7% today and the CBOE Volatility Index is close to its low close for the year of 21.90 set on Feb 26. 

The CBOE Volatility Index,a.k.a. the "Investor Fear Gauge",  measures the market's expectation for 30 day volatility.  A value over 30 indicates high volatility and uncertainty while a value under 20 indicates a more stable market.

Avg Historical Dow Performance after VIX crosses below 20 (based on 136 occurances since 1986):
  • 1 week later:  up 0.1%
  • 1 month later: up .73%
  • 3 months later: up 2.05%
  • 6 months later: up 5.29%
  • 1 year later: up 10.49%