This paper obtains monthly implied volatilities of the NYSE from 1890 to 1933 from interest rate differentials. These three and six month volatilities are used to examine if the different financial crises were expected by market participants. In addition to having predictive power, the implied volatilities are essential for cointegrating stock prices. I find that beginning in October 1928, the market began to behave anomalously for the next five years, leading to a breakdown in asset price coherence.