Another Historical VIX Comparison

Last night I posted a blog about VIX price action in 2014 and compared it to different levels from 2004 – 2013.  Justin Pulitzer (@justinpulitzer) noted via a tweet that 2008 – 2009 probably skewed the highs on the chart that I produced and discussed last night.  Based on that tweet I was prompted to take a look at average VIX closing prices by day from 2004 through 2013, but excluding 2009.  The result of that update was very interesting (at least to me).  I am well aware that toying around with historical data to prove a point results in the credibility of the argument going to zero.  My argument about VIX not being ‘broken’ is in last night’s blog –

Tonight is just about an interesting result in the chart below.  Taking out 2009 for the study results in a line that almost looks like a moving average around this year’s closing prices.  I know humans often look for patters and see patterns where they do not exist, but there may be something to comparing the blue line below, which depicts the 10 day moving average of the average daily closes for VIX over the previous ten years and dropping 2009, and the purple line that shows this year’s closing prices through yesterday.  Beyond VIX trading line with the average of nine of the last ten years, it also seems to have a seasonal pattern that is showing up in both the historical and current data.   The higher red line shows the average daily closing prices for VIX for each date between 2004 and 2013 and including 2013.  As Justin noted in his tweet – the volatility action around the financial crisis did have a huge impact on last night’s chart.

VIX 10 Year Average Excluding 2009 Red Blue Purple