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:

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.





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1 Comment so far

  1. matt on May 14, 2011 7:45 pm

    S&P Hist vs Imp vol is getting cheaper over the past couple of weeks…Victor, sources at the CME say you are up and trading again, care to confirm?


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