Submitted by Nick Colas of DataTrek Research
We will confess to some real trepidation as we say goodbye to July and hello to August. So much so that we’re pulling forward our usual month-ahead review to get several topics in front of you.
Here’s the problem: August has shifted from its traditional period of rest and relaxation to one where US equity market volatility tends to peak for the year.
Consider the following data points, all post-2010:
- In 2011, the CBOE VIX Index peaked for the year on August 8th, with a close at 48.0.
- In 2015, the VIX peaked for the year on August 24th, at 40.7.
- In 2017, the VIX peaked for the year on August 10th, at 16.0.
The closing high in the VIX for 2018-to-date was 37.3 on February 5th, the result of a meltdown in a volatility-related inverse VIX ETF. Even with today’s Facebook-driven tech wreck, the VIX is only at 12.1. Any pop in that measure that exceeds the February highs would be a real shock. Also worth noting: February has only seen an annual high on the VIX once since 1990, in 2016 (at 28.1).