Tuesday, April 27, 2010

VIX +30% -- What's Next?

 Thanks to Bill Luby of VIX & More for pointing out in our trading room today that the VIX has only risen 30% or more 13 other times over the last twenty years or so.  The natural question -- what has happened next?  Here is the real quick one-day out answer for the S&P500, not considering relative market structure:
  • Average +.0015%
  • Max +5.4175%
  • Min -0.6940%
Not a terrific edge looking at the statistic in isolation.  But markets are never quite that simple, are they?  In addition, we should consider relative range price positioning, sample size, statistical significance and distribution, current market behavioral tendencies, and specific news flow backdrop.  Just food for thought for now and a short checklist to consider when thinking about "quick studies" like this.

[Splendid Elaboration by VIX & More]

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