2020 was unusual in the markets in many respects, one of which was the number of times SPX hit ATH when the VIX was above 20. The first time the index hit ATH after the selloff in March 2020 was August 18, 2020 when VIX was 21.51. By the end of the year, SPX hit ATHs 19 more times and all of them happened with VIX above 20. That is quite unusual.

The last time the stock index hit ATH with VIX above 20 was November 1999. In fact, on September 2, 2020, SPX hit ATH when VIX was at 26.57 which remains the highest VIX to coincide with an ATH in the index. The last time we had the SPX hitting ATHs with such elevated levels of VIX was 1997-1999.

The years preceding 1997 were characterized with much lower levels of VIX, just like the years preceding 2020. In fact, the lowest VIX to coincide with SPX hitting ATH was on November 3, 2017 at 9.14. Average historical VIX to coincide with the index hitting ATH is 14.92.

Since 1990 there have been a total of 614 ATHs for the SPX. Most daily ATHs on a 12m rolling basis were 87 reached on February 12, 1996. The average is around 20. In 2020 we had 33 ATHs, so far this year we have had 16.

Most people assume that with the March selloff in VIX falling off the 1yr look-back for (some) VAR models, vol will keep grinding lower now as sellers re-appear. Could be. It could also be that we are in a 1997-99 vol environment. We shall see.