VIX down 13.6% today

R

reno4nook

The VIX index closed at 13.50, down by 13.6% from today's open of 15.63.

According to my figures, this marks only the 7th time in the past 2 years that the index has gone down by 10% or more in a single day.

All of the other 6 times proved to be good buying opportunities as the S&P was up 10 trading days later every time. Will today make it 7 for 7??


Aug 18th 2004 - VIX down 17.5%
S&P closed at 1095. Ten trading days later it closed at 1105

Sept 21st 2004 - VIX down 14.5%
S&P closed at 1129. Ten trading days later it closed at 1134

May 25th 2004 - VIX down 13.3%
S&P closed at 1113. Ten trading days later it closed at 1131

Oct 30th 2003 - VIX down 11.5%
S&P closed at 1046. Ten trading days later it closed at 1058

April 21st 2005 - VIX down 11.2%
S&P closed at 1159. Ten trading days later it closed at 1172

July 7th 2005 - VIX down 10.2%
S&P closed at 1197. Ten trading days later it closed at 1227



Oct 19th 2005 - VIX down 13.6%
S&P closed at 1195. Ten trading days later ????
 
hi reno ... thanks for sharing that market "factoid"

are you able to answer this Q ?

what was the biggest drawdown in those 10 days
that followed each of those VIX trigger days ?
 
What I'd like is a true traders VIX, something that measures real volatility. Implied volatility has a directional bias. When the volatility is to the upside, the VIX actually declines. The VIX only increases when the volatility is to the bearish side.

VIX is the fear index, not a true measure of volatility.
 
Quote from reno4nook:

The VIX index closed at 13.50, down by 13.6% from today's open of 15.63.

According to my figures, this marks only the 7th time in the past 2 years that the index has gone down by 10% or more in a single day.

All of the other 6 times proved to be good buying opportunities as the S&P was up 10 trading days later every time. Will today make it 7 for 7??


Aug 18th 2004 - VIX down 17.5%
S&P closed at 1095. Ten trading days later it closed at 1105

Sept 21st 2004 - VIX down 14.5%
S&P closed at 1129. Ten trading days later it closed at 1134

May 25th 2004 - VIX down 13.3%
S&P closed at 1113. Ten trading days later it closed at 1131

Oct 30th 2003 - VIX down 11.5%
S&P closed at 1046. Ten trading days later it closed at 1058

April 21st 2005 - VIX down 11.2%
S&P closed at 1159. Ten trading days later it closed at 1172

July 7th 2005 - VIX down 10.2%
S&P closed at 1197. Ten trading days later it closed at 1227



Oct 19th 2005 - VIX down 13.6%
S&P closed at 1195. Ten trading days later ????
More...

Market manipulation at its best! Options contracts expire on Friday!
 
Quote from reno4nook:

Aug 18th 2004 - VIX down 17.5%
S&P closed at 1095. Ten trading days later it closed at 1105
Sept 21st 2004 - VIX down 14.5%
S&P closed at 1129. Ten trading days later it closed at 1134
May 25th 2004 - VIX down 13.3%
S&P closed at 1113. Ten trading days later it closed at 1131
Oct 30th 2003 - VIX down 11.5%
S&P closed at 1046. Ten trading days later it closed at 1058
April 21st 2005 - VIX down 11.2%
S&P closed at 1159. Ten trading days later it closed at 1172
July 7th 2005 - VIX down 10.2%
S&P closed at 1197. Ten trading days later it closed at 1227

Oct 19th 2005 - VIX down 13.6%
S&P closed at 1195. Ten trading days later ????
More...

ok, i'll bite. i'll take the other side of that. The S&P will be lower in 10 days, but it was a nice stat while it lasted.
 
Interesting. I'd like to know how it did going back more than 2 years though. Anyone care to backtest this for say, 10 years? or more?

Someone asked for drawdowns:

Sep '04 had the SPX fall from 1130 (signal) to 1103 (low) before closing higher than signal day at 1135 appx. So a slight climb.

Oct '03 went up a bit but then came back to signal level (1150) and even lower at 1143 but then closed slightly higher at 1160 (about 10+ pts).

The April '05 signal was given at 1160 but went as low as 1140 within the next 10 days. It then closed at 1180 (+20 pts).

The other occurrences (Aug '04 - May '04 - Jul '04 ) had no drawdowns - they resembled rockets.

This is the kind of contribution which make ET a cool place to hang out. Thanks reno! :)
 
Quote from SethArb:

what was the biggest drawdown in those 10 days
that followed each of those VIX trigger days ?
More...

Aug 18th 2004 - VIX down 17.5%
S&P closed at 1095. In the next ten trading days
high +17
lo -9
close +10

Sept 21st 2004 - VIX down 14.5%
S&P closed at 1129. In the next ten trading days
high +10
lo -28 (ouch)
close +5

May 25th 2004 - VIX down 13.3%
S&P closed at 1113. In the next ten trading days
high +29
lo -3
close +18

Oct 30th 2003 - VIX down 11.5%
S&P closed at 1046. In the next ten trading days
high +15
lo -3
close +12

April 21st 2005 - VIX down 11.2%
S&P closed at 1159. In the next ten trading days
high +18
lo -20
close +13

July 7th 2005 - VIX down 10.2%
S&P closed at 1197. In the next ten trading days
high +38
lo -1
close +30

ave hi +21
ave lo -11
ave close +15

this is a really small sample, so the averages don't mean much

In the worst sample on Sept 21, 2004, the S&P immediately crashed back down 21 points in the next 2 days. It was a reaction to news of a Fannie Mae accounting scandal.
 
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