VOLATILITY ANNIVERSARY SERIES™
Adding Color To Crisis
Welcome to the Prana Capital Volatility Cycle Anniversary Series™, which will highlight historical volatility events going back to the inception of measured volatility.
Historical volatility events are known to leave behind vital clues that when analyzed can help us understand how future volatility cycles may behave from the length of the cycles to their highest peak and most importantly, the time it takes to mean-revert.
Sizable market movements can create a sense of irrationality in the market, but for those possessing clarity and historical perspective, it may provide an excellent opportunity.
Be on the lookout over the course of the year as we will be periodically sharing other historical volatility events on the very date that irrationality, fear, and opportunity peaked.
Volatility peak date: October 8, 1998
A storm was brewing as the price of oil declined from its peak at $26 a barrel in January of 1997 to just below $11 a barrel in December of 1998, a decline of nearly 60%. With a high fiscal deficit from the first war in Chechnya, high exchange rates, and a declining stock market, the Russian government decided to intervene…
Volatility Peak Date: October 15, 2014
In June of 2014, oil prices began a broad decline of 23% from highs of $107 per barrel to $81 per barrel by the time market volatility peaked on October 15th. These declines represented a massive transfer of wealth from producers to consumers, estimated at $1.5 trillion annually by economist Edward Yardeni…
1987 Black Monday
Volatility Peak Date: October 20, 1987
Wall Street has experienced its fair share of market crashes, but as of this date in 1987, they paled in comparison to what would eventually be coined “Black Monday” when the Dow Jones Industrial Average lost over 500 points in a single day. The selling spread around the world as many global exchanges lost as much as 20% in the week following Black Monday…
The 2008 Great recession - 10 years later
Volatility Peak Date: October 24, 2008
It all began in 2007 with a crisis in the U.S subprime mortgage market and developed into an international banking crisis with the collapse of the investment bank Lehman Brothers on September 15, 2008. Excessive risk-taking by banks such as Lehman helped to magnify the financial impact globally. Massive bail-outs of financial institutions…
Volatility Peak Date: October 28, 1997
In the latter part of the 1990’s, Thailand and other Eastern-Asian countries experienced a period of high interest rates, while many other western countries - the U.S. included - enjoyed much lower rates. This divergence caused many Eastern-Asian investors to borrow Dollars to spend in their home countries…