Friday, November 21, 2008

Recent Spread Between VIX and SPX HV 30 Hints at Potential Up Day Today

Yesterday the VIX closed above the 30 day historical volatility of the SPX for only the sixth time since October 10th. Of interest to some, the SPX has performed extremely well in subsequent trading days on four of those five previous days, logging gains of 11.6%, 10.8%, 4.78%, and 4.3%. The sole loss was a day in which the SPX fell 3.2%. Extending this analysis farther back in time reveals a less impressive, but still positive recent pattern.


Anonymous said...

and an up day it was.

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