So out of 460 trading days, the SPX and VIX closed up 43 times together. It is 44 with today but since I can't predict what tomorrow will use the data is using 43 times.
On average the next day the market closed down -8.59 points. One thing to notice is #41 is the the first time in this data set that this happened which was on April 17th 2007. Since then the range of the moves has gotten increasingly more volatile reflecting the increase in the VIX. The last time the VIX was in the same range as it is now was from number 20 to 6
Looking at the 5 day change, the average change in the SPX was -10.70. The largest moves have been to the downside. But these were at times when the VIX was at it's highest. Again you can look at 20 to 6 to find the range the market might move this time with the VIX in the high 30's.
Here is a chart from March 2008 to Present. The green squares are the days when the SPX and VIX closed up together. The blue are down days. I used the March 2008 as my starting point because 1. It is easier to read when the days correlated because the chart isn't huge and 2. Its a pain circling each day. But I am working on it.
Looking at the chart and the data, there is no clear advantage for either side Bulls or Bears when the VIX and SPX close up together. The averages lean towards the Bears but it's just an average. Had you shorted April 07 and closed it after 5 days would have averaged -10points. Not to bad, but look at the last time the VIX closed down and SPX closed down data. The averages didn't work that time. I see no definable edge to trade on this information though, it's nice to know but it is still two risky to place a trade on.
