From the desk
Twelve shocks, twelve returns to calm
From the Lehman Brothers bankruptcy to the 2025 tariff shock, every one of them faded. For each: the peak, the trigger, how long it took to calm down and, where I wrote about it, what I took from it.
- 12
- shocks lived through, from 2008 to 2025
- 4 weeks
- at the median for the VIX to close back below its long-run average (20 sessions)
- 4 days
- the fastest return to calm: Brexit referendum, 2016
- over a year
- the longest: Global Financial Crisis, 2008
-
20 November 2008
Global Financial Crisis
Lehman Brothers filed for Chapter 11 bankruptcy on 15 September 2008, still by far the largest US bankruptcy, helping trigger a market freefall and a global financial crisis.
I was a junior FX trader. The VSTOXX went above 80 that autumn; it would not get there again until March 2020. Read the note
80.86VIX close 87.51VSTOXX close, 16 October 2008 over a yearback to calm, 5 January 2010 89.53VIX intraday high, 24 October 2008 -
20 May 2010
Flash Crash
On 6 May 2010, in markets already turbulent over the European debt crisis, a large sell program of 75,000 E-mini S&P 500 contracts helped spark a crash in which the Dow lost some 700 points in minutes and was down nearly 1,000 points at its low.
45.79VIX close 49.87VSTOXX close 5 monthsback to calm, 11 October 2010 48.20VIX intraday high, 21 May 2010 -
8 August 2011
US downgrade and euro-zone sovereign debt crisis
S&P stripped the United States of its AAA rating on Friday 5 August 2011, cutting it to AA+, while Italian and Spanish bond yields above 6% spread the euro-zone debt crisis and led the ECB to buy their bonds.
On 12 September 2011 the V2X–VIX gap blew out: Europe was the risk. Read the note
48.00VIX close 53.55VSTOXX close, 12 September 2011 5 monthsback to calm, 20 January 2012 -
24 August 2015
China devaluation and the 24 August 2015 crash
China's surprise devaluation of the yuan on 11 August 2015, its biggest one-day fall in more than two decades, was followed on 24 August by a near 9% dive in Chinese shares and a Dow opening more than 1,000 points lower.
40.74VIX close 40.80VSTOXX close 43 daysback to calm, 6 October 2015 53.29VIX intraday high -
24 June 2016
Brexit referendum
The United Kingdom's vote to leave the European Union, announced on 24 June 2016, wiped about $2 trillion off equity markets worldwide and sent sterling into a record plunge.
My book was set for Leave and flat on volatility. The Euro Stoxx 50 fell 8.6% in one session, yet the VSTOXX closed below its peak of the week before. Direction paid. Volatility did not. Read the note
25.76VIX close 39.90VSTOXX close, 16 June 2016 4 daysback to calm, 28 June 2016 26.72VIX intraday high, 27 June 2016 -
5 February 2018
Volmageddon
On 5 February 2018 the VIX posted its largest one-day percentage rise on record, triggering an acceleration event and early redemption of Credit Suisse's XIV inverse-VIX ETN, a popular bet on calm markets.
The V2X closed 18.5 points below the VIX, the widest inversion since 1999: the shock was American. Read the note
Sources
- fred.stlouisfed.org, fredgraph
- cdn.cboe.com, VIX
- stoxx.com, h v2tx
- sec.gov, dp86358 ex9901
- sec.gov, dp86855 ex9901
- bloomberg.com, volatility index spikes by largest ever amount
- money.cnn.com, index
- cnbc.com, the obscure volatility security thats become t…
- cnbc.com, credit suisse defends controversial xiv etn am…
- reuters.com, credit suisse volatility fund liquidated after…
37.32VIX close 34.74VSTOXX close, 9 February 2018 9 daysback to calm, 14 February 2018 50.30VIX intraday high, 6 February 2018 -
24 December 2018
Q4 2018 sell-off
After the Federal Reserve's fourth rate hike of 2018 and amid a US government shutdown, US stocks had their worst Christmas Eve session on record on 24 December 2018, with the S&P 500 more than 20% below its recent high.
36.07VIX close 25.69VSTOXX close, 27 December 2018 18 daysback to calm, 11 January 2019 36.20VIX intraday high, 26 December 2018 -
16 March 2020
Covid-19 crash
As the coronavirus pandemic spread, US stocks suffered their biggest drop since the 1987 crash on 16 March 2020, despite the Federal Reserve's emergency cut of rates to near zero late the previous day.
Our first NAV for outside investors was struck that week. On 16 March the VSTOXX closed at 85.6, against 52.2 for twelve-month volatility; the curve stayed inverted for 44 sessions. Read the note
82.69VIX close 85.62VSTOXX close one yearback to calm, 17 March 2021 85.47VIX intraday high, 18 March 2020 -
7 March 2022
Russia's invasion of Ukraine
Russia launched an invasion of Ukraine on 24 February 2022, sending global energy prices to multi-year highs and driving investors towards safe-haven assets.
On 4 March 2022 the V2X–VIX gap blew out: Europe was the risk. Read the note
36.45VIX close 49.64VSTOXX close, 4 March 2022 22 daysback to calm, 29 March 2022 37.79VIX intraday high, 24 February 2022 -
13 March 2023
US regional bank crisis (SVB)
Silicon Valley Bank was shut on 10 March 2023 and Signature Bank two days later, the second- and third-largest failures in US banking history, before stress spread to Credit Suisse on 15 March.
26.52VIX close 32.02VSTOXX close, 15 March 2023 16 daysback to calm, 29 March 2023 30.81VIX intraday high -
5 August 2024
Yen carry-trade unwind
After the Bank of Japan raised rates to levels unseen in 15 years, and amid US recession fears, a surging yen forced an aggressive unwind of carry trades; on 5 August 2024 the Nikkei fell 12.4%, its largest one-day fall since October 1987.
The VIX printed 65.7 before the US open while VIX futures stayed below 35. Wide quotes on thin SPX options moved the formula; the futures priced a much smaller move. Read the note
38.57VIX close 31.17VSTOXX close 8 daysback to calm, 13 August 2024 65.73VIX intraday high -
8 April 2025
US tariff shock
On 2 April 2025 the US announced a 10% baseline tariff on all imports and much higher duties on some countries, its steepest trade barriers in more than a century; on 9 April 2025 a 90-day pause was announced for many countries while the tariff on Chinese imports was raised to 125%.
On 2 April 2025 the VSTOXX stood at 21; realised volatility over the next month came out at 37. On 9 April the tariff pause landed between the European and US closes: the V2X–VIX gap went from −15.9 to +12.3 points in one session. Read the note
52.33VIX close 46.72VSTOXX close, 7 April 2025 34 daysback to calm, 12 May 2025 60.13VIX intraday high, 7 April 2025
Europe against the US
The VSTOXX has closed above the VIX on 81% of days since 1999.
The gap blows out when Europe is the risk (12 September 2011, June 2016, 4 March 2022) and flips when the US is: on 5 February 2018 the V2X closed 18.5 points below the VIX, the widest inversion since 1999. But the two indices do not close at the same time, and neither trades directly.
Method
Levels are daily closes: VIX published by Cboe (FRED series VIXCLS), VSTOXX (V2X) published by STOXX. For each episode the peak is the highest close of the stress period; the VSTOXX peak date can differ from the VIX one. The VIX intraday high is shown when it exceeds the peak close, with its date when it falls on another day. Back to calm is the first VIX close below its long-run average (19.42, closes from 1990 to October 2026) after the peak, counted in calendar days. Every number is linked to its sources.
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