VXO (Original VIX) - Last night's large volatility pullback is a short-term negative for the S&P 500 Index

Andrew McCauley

I note that last night the CBOE S&P 100 Volatility Index (VXO – Original VIX) fell by over -25%. Since the inception of the VXO (1986), 1-day falls on the southern side of -25% are very rare, having only occurred on 11 previous occasions. Interestingly, post these large VXO declines, the S&P 500 Index had a tendency to trend lower.

Andrew McCauley

Andrew has over 25 years’ experience in the Australian financial markets sector with extensive knowledge of both equity derivatives and statistical analysis (predictive techniques). Andrew is responsible for delivering evidence based market...


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