The Dow Jones Industrial Average’s DJIA, +0.98% daily change each day this week, for example, has been in the triple digits. The CBOE’s Volatility Index VIX, -6.07% closed Thursday more than 30% higher than where it stood at the end of last week.
Unfortunately for those of you who crave calm markets, October is likely to be even more volatile, at least as measured by the VIX.
Consider the results of an analysis I conducted of the VIX back to 1986, nearly 30 years ago. (For 1986 through 1989, the CBOE used a slightly different methodology; its current ticker is VXO.) Since I was not interested in the VIX’s absolute level in any given month but instead its relative level, I calculated a ratio of each month’s average VIX level to the previous month’s average.
Over the past 30 years, this ratio for October was 12%. What this means: Even though September is itself one of the more volatile months of the year, October’s average VIX level is 12% higher still.