Wednesday, October 27, 2010

VIX and SPX Both Close Higher for the 2nd Day in a Row

The SPX and the VIX typically move in opposite directions. It is somewhat unusual to see them both move higher on the same day. It is especially unusual to see this happen 2 days in a row as we saw on Monday and Tuesday. Below is a study that looks SPX performance following such occurrences. It only considers those instances that occurred when the SPX was trading above its 200ma.

Instances are a bit low but the stats seem to suggest a possible downside edge over the next 1-3 days.


nzbryant said...


I love your posts. Good work. I think they would be a lot more helpful though (tradeable) if the analysis is only shown / done when there are a statistically signficant number of trades (eg ~30). When there are say, 10, or 16, prior instances of a setup, I would never use that to trade real money. To get the instances up of course you will need to relax the filters a little. This doesnt make the analysis less useful, it makes it less specific but MORE useful, as it is more reliable.

Michele said...

I like this sort of historical analysis.

A few down days are also indicated by the break today of the rising regression trend channel going back to the end of August. I put up a chart of this in my own blog today (