Wall Street's Panic Gauge Just Broke a 13-Year Record. Goldman Says History Favors a Rebound

Goldman Sachs’ Vol Panic Index posted its biggest two-day swing on record last week, beating an April 2013 high. The gauge collapsed during the midterm relief rally, then jumped to 9.57 out of 10 a day later. That reading pushed US stocks into Goldman’s panic zone, a level crossed only 15 times before. Historically, such extremes preceded S&P 500 gains, but the bank’s traders warn that forced selling may not be over. Why the Goldman Sachs Panic Index Flipped in 48 Hours Goldman’s trading desk runs the gauge, which scores stress in US equities from zero to 10. It draws on options-market signals such as implied volatility and the cost of downside protection. Barchart data puts the combined two-day move at roughly 8.5 points.

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