Volatility spike

TSX down 12%, S&P down 9.5%, and VIX reached 75 today, holy crap:

This is not predictive, but it is at the level that was experienced during the 2008-2009 financial crisis:

Again, VIX is not predictive, but suffice to say this is one of those “six sigma” events that are supposed to happen once in a million years, but instead takes 12 years apart to realize. Who knows, it might head to 100.

Just as a reminder, VIX is a measurement of what traders expect is the annualized implied volatility of the S&P 500 over an average of 30 days. The word “volatility” in everyday language implies down, but mathematically it implies movement in either direction.