Black Monday, 1987

https://i0.wp.com/upload.wikimedia.org/wikipedia/en/d/de/S%26P_500_index_around_the_time_of_the_crash.png

(the original VIX [VXO] hit 172 on Black Monday. The average VIX is 20 and otherwise the high is 90. See kurtosis and 5th moment.)

Advertisements

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s