We note the VIX has just posted a large 3-day decline of -30% with a closing level below 15

Probability Trader

We note the VIX has just posted a large 3-day decline of -30% with a closing level below 15. With regard to the VIX, an index level of 15 or below represents a rather subdued expectation of stock market volatility over the next 30-day period. In fact a VIX level below 15 is in the bottom third of all daily closing prices since 1990. Similar VIX setups have historically coincided with further S&P 500 advances. Since 1990, a large 3-day fall in the VIX of more than -25% with a closing level below 15, produced an average 20-day forward return of 1.69% for the S&P 500 Index with a solid win rate of 6 from 7 (max = 3.69%, min = -0.87%).


About this contributor

Probability Trader

Probability Trader

Quantitative Research Analyst, www.probabilitytrader.com

Probabilitytrader is an independent financial research group that provides objective analysis for traders of Global Stock Market Index CFDs, ETFs, Futures, and Options. Our forward looking analysis covers timeframes as short as 1-day to as long as...

Expertise

No areas of expertise

equities usa vix s&p500

Comments

Please sign in to comment on this wire.