VIX Had Smallest Intraday Range Ever! (VXX, VIXY, SPY)

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Bill Luby: If ever there was a day to be short the volatility of volatility, it was today. In fact, today established a new record for the smallest (in percentage terms) intraday range for the VIX (NYSEARCA:VXX), a mere 1.14%.

For those who are curious (and I know you are out there), the previous record of 1.24% dates from August 29, 2003.

The chart below includes weekly bars and dates from January 2003.  It puts the prior small range day into context with a green arrow marking the previous record. For those who are more curious about historical precedent, in the month or so following the old record, the VIX (NYSEARCA:VXX) slowly drifted up from 18.63 to the 22s, briefly touching over 23 on one day. Then, of course, the influence of the bull market took over and a VIX of 25 was not seen until 2007.

Courtesy of Bill Luby, Vix And More

Posted with permission of author by Wall Street Sector Selector