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Trading > Amateur Investors

SPY 5 Day Performance after large Volatility Index (VIX) Drops

Bob Kleyla | Wed, 10/22/2008 - 8:03pm | Amateur Investors, SPY Performance, VIX, Volatility Index |  Add a comment

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Since 1995 there have only been 6 days when the Volatility Index (VIX) has dropped 20% or more in one day.  A table of these dates is shown below along with the performance of the SPY over the next 5 trading days.   The VIX dropped by 24.7% on Monday October 20th which has been followed by a -12.7% drop in the SPY in just two trading days.   This is very similar to what occurred after the big one day drop in the VIX on October 13th in which the SPY lost -17.3 in three trading days.  

The average 5 Day Gain in the SPY has been only 0.8% when the VIX has dropped 20% or more in one day while the average 5 Day Loss has been -6.9%.   Thus historically it's been a rather bearish sign in the short term when the VIX drops more 20% or more in one day.

 

Date Daily SPY  SPY
5 Day		 SPY
5 Day		 % %
VIX Open Price High Low Gain Loss
 Drop next Day        
10/20/2008 -24.7 96.97 98.64 87.53 1.7 -12.7
10/13/2008 -21.4 104.70 105.53 86.54 0.8 -17.3
3/18/2008 -20.0 134.14 135.81 129.26 1.2 -3.6
11/13/2007 -22.5 149.22 149.40 142.11 0.1 -4.8
9/18/2007 -23.2 153.41 154.39 150.47 0.6 -1.9
6/15/2006 -25.9 125.19 125.70 123.55 0.4 -1.3

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Bob
Amateur-Investor.Net

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