8/15/2007: Equity Volatility Reaches a Four-Year High
Further fallout from the subprime meltdown and credit tightening has helped to send market volatility to its highest level since early 2003. The S&P Volatility Index (VIX) closed Friday at a four year high of 28.3%. This is more than twice the level at the beginning of the year and above the long-term average of 19. The S&P 500 index has moved by 2% or more four times (three of them losses) in the last 13 trading days, compared to two for all of 2006. Intraday volatility has also been abnormally high, with the S&P gyrating between significant gains and significant losses on some trading days. The intraday difference between the high and low has exceeded 1% for 16 consecutive trading days and 11 of those exceeded 2%. But for all the volatility, total