We note that VIX has just posted a solid 1-day gain of a little over 15% in conjunction with a reasonably benign S&P 500 fall of -0.71%. Historically (since 1990), a strong 1-day upward move in the VIX (> 15%) together with a small S&P 500 decline (between -1% & 0%), produced an average 10-day return of 1.72% for the S&P 500 Index (win rate 81%).
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Interesting note, last week when the VIX breached 20, it was only the 24th time since 1990 the index was higher than 20 while S&P 500 realized volatility was less than 10%. Realized volatility has increased this week, but last week's data point marks a very unlikely situation.