May
14
Pre and Post 911 VIX, from Kim Zussman
May 14, 2011 |
Here is a study comparing VIX levels of 8 trading days prior to (and sometimes including) September 11's to 8 trading days following September 11's, 2002-2010. First comparing the mean pre-911's to post 911's for all study years:
Two-sample T for pre 911 vs post 911
N Mean StDev SE Mean
pre 911 72 21.45 7.39 0.87 T=-0.2
post 911 72 21.70 8.64 1.0
No difference in mean VIX between 8 days prior to and following 911 dates. Here is the same comparison by year, with the T-score for difference between pre911 and post911:
YR VIX T
2010 2.7
2009 3.1
2008 -6.9
2007 1.9
2006 4.1
2005 1.5
2004 0.8
2003 1.1
2002 -1.7
The omniscient market (and even more omniscient options market) was not concerned about repeat terror attacks in the 4 years following 9/11/01. In 2008 financial markets were probably more worried about self-inflicted damage. However pre-911 was significantly higher than post-911 in 2006 - the 5th anniversary of the attack; which fits with public information that other attacks were considered on notable anniversary dates. Evidently Osama also hoped for commemoration on 9/11/11, and it remains to be seen whether there will be a run on insurance under his new tenure as fish food.
Comments
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