We note that the VIX has just posted a solid 1-day retreat of -21.2% in conjunction with a robust S&P 500 gain of +1.4%. Similar market setups have historically coincided with further S&P 500 advances. Since 1990, a large 1-day fall in the VIX of more than -15% together with an S&P 500 increase of between 0% & 2%, produced an average 15-day return of 2.92% for the S&P 500 Index with an unblemished win rate (8 from 8). Full data analysis can be viewed at (VIEW LINK)


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Andrew McCauley

The return of 2.92% for the 15-day forward interval is 6 times that of the average 15-day return from 1990 to 2013 of 0.48%.

Jay Soloff

Interestingly the VIX drop to below 15 is well below its historical average of 20 - but a relatively normal level for what's typically considered a non-volatile market. On the other hand, VVIX (the implied volatility of the VIX index) dropped 17% to almost exactly its historical long-term mean of 86. You could say that volatility traders are neutral on risk right now compared to equity (or index) option traders who appear to believe the worst is over.

James Marlay

8 from 8 is pretty compelling