As usual, Adam Warner of the Daily Options Report has been all over the latest developments in VIX. He was the first to comment on the VIX falling 20% under its 10 day SMA on Wednesday (actually -19.3%) and has added two follow-up stories, most recently this morning, where he draws comparisons to the June-July VIX walkabout from last year.
To recap for those why may be link shy, the VIX has closed 20% below the 10 day SMA on seven days since 1990, which I have grouped into four distinct events (one isolated event and three other events with two separate EOD readings,) as follows:
> 3/14-15/1991 (3/13 was 19.9% below)
> 1/21/91 and 1/24/91 (1/18 through 1/25 were all at least 18% below)
The only additions I will make to Adam’s commentary are two graphs that appear in one form or another on these pages on a fairly regular basis: a composite look at all 7 instances, from 5 days prior to 20 days after the -20% reading; and a rather busy graph of each of those 7 instances, color coded by ‘event,’ with the second -20% reading for each event indicated by a dotted line. The graphs, not surprisingly, suggest a possible mean-reverting move over the next 10-20 trading days, but given the small sample size, I would consider their entertainment/voyeuristic value to be higher than any informational value.