Tuesday, April 7, 2009

WHEN THE VIX AND SPX CLOSE IN THE SAME DIRECTION

So today was an odd day for the VIX for the course of the day it was barely up and actually ended down. Since 2008 or out 0f 280 trading days, this has happened only 18 times and add today it was 19.
So what does this mean for the market? Well out of the 18 times this occurred 9 times the market ended the next day up and 9 times it ended the day down. The average though of the 18 times was -2.477. The highest being -42.34 on the downside and the highest on the upside 39.45



If the SPX and VIX were to close up together what does that mean fo the market. In 280, trading days the SPX and VIX closed up together 14 times. 8 of which ended up in down days and 6 days ended up in up days. The average of the Price change are -25.33. The biggest move on the downside was -106.85 and the biggest move on the upside was 6.38.



So there is a 50/50 chance we end up tomorrow (shocker really since that is it everyday) but the average is -2+.