Finally, you may want to know the mode.  The closing VIX value that showed up most – after rounding to the nearest whole number – was the last number I introduced, 13, followed by 12 and other levels just higher than those (see chart below).  This surprised me.  I would’ve guessed higher.

To go back to the Alaska analogy, if you were to trek across that state, you would spend most of your time trudging through tundra, navigating lakes and rivers, and hiking small and medium sized mountains.  You would want to prepare mostly for this.  On rare occasions, though, you would come across a breathtaking mountain that would lodge itself in your memory and define your experience.

VIX works in a similar way.  Lots of the mundane, but then peaks you won’t soon forget.

>About Reid Steadman
>Reid Steadman is vice president of non-equity indices at S&P Dow Jones Indices. Reid is responsible for the product management of S&P Dow Jones Indices’ fixed income and commodity index families, the custom index business, and volatility indices.

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