03/28/2008 Yesterday’s Unusual VIX and SPX Action

Cobra

As I mentioned yesterday in VIX Follows Markets Down in Early Trading, it is rare for the VIX to drop when the S&P 500 is down and rarer still for the VIX to be down when the SPX is down 1% or more. In fact, when the SPX closed down 1.15% yesterday and the VIX ended the day down 0.77%, it was only the second time since April 2003 that the VIX gave up ground on a day in which the SPX lost more than 1%.

 

Looking at all 22 times since 1990 in which the VIX has been down on the same day that the SPX has posted a 1% loss yields an interesting clustering of data. The first 10 instances are clustered in 1990 and early 1991 and are associated with all of the uncertainty leading up to the Gulf War. After a nine year hiatus – the famous 1990s bull market – the next clustering of data consists of ten instances from May 2000 through April 2003, roughly from the beginning of the bursting of the dot-com bubble to the point where the markets began to confirm a bottom with a series of higher highs.

 

The most recent example of the VIX falling on a day in which the SPX was down 1% or more comes from January 5, 2004 and was largely the result of the fallout associated with the magnitude 9.3 Indian Ocean earthquake. This was the second largest earthquake ever recorded (at least on a seismograph) and together with the resulting tsunami, was responsible for over 200,000 deaths.

 

It remains to be seen whether tectonic forces were responsible for the unusual VIX and SPX action yesterday. History suggests that these days can occur at either the beginning or the end of a bear market. While the SPX has generally outperformed historical norms in the weeks following a 1% drop in the SPX accompanied by a negative VIX, history also suggests that a safer conclusion to draw from a day like yesterday is increasing volatility around the corner.

 

layworld

金牛银熊

xiaobailong

原帖由 Cobra 于 2008-3-28 13:05 发表 The most recent example of the VIX falling on a day in which the SPX was down 1% or more comes from January 5, 2004 and was largely the result of the fallout associated with the magnitude 9.3 Indian Ocean earthquake. This was the second largest earthquake ever recorded (at least on a seismograph) and together with the resulting tsunami, was responsible for over 200,000 deaths.

这个时间是不是有问题， Tsunami是2004年底啊。

顺便说句题外话，海啸那一次，真让人怀疑美国那么多卫星在天上都是干什么用的，这么大的事情几个小时之后都不能发出预警。美国人就知道用卫星搞间谍活动，就不能干点儿有用的事情吗？

ppteam

thanks, possibilities: 1. beginning of bear market 2. end of bear market 3. SPX has generally outperformed historical norms 4. increasing volatility around the corner. 50/50 :(13): :(13): :(13):

金牛银熊

purety

How about such thing happens two days in a row? Does that narrow your data mining?

Cobra

原帖由 purety 于 2008-3-28 14:21 发表 How about such thing happens two days in a row? Does that narrow your data mining?

 

We'll see.

oldfrog

hehe, is today another VIX down and SPX down day?

layworld

原帖由 oldfrog 于 2008-3-28 14:33 发表 hehe, is today another VIX down and SPX down day?

 

Yeah! weird! something big is gonna happen?

 

Sell off? but seems market is strongly refused to do so with negative news during last several session. No panic at all! Does this mean we should turn to bullish?? but the indices are actually going lower and lower, even in a slow, but steady pace!

shi33

My holding GOOG, AAPL and POT. First time holding overnight and first time buy long ... got me worried... wwwwwwwwww

ppteam

All right, VIX is down 0.17 again today. Thanks in advance for your updated analysis!

shyuan

原帖由 Cobra 于 2008-3-28 13:05 发表 As I mentioned yesterday in VIX Follows Markets Down in Early Trading, it is rare for the VIX to drop when the S&P 500 is down and rarer still for the VIX to be down when the SPX is down 1% or m ...

 

对了。。说一下，大家知道昨天是OE么？嘿嘿。。March有2个OE day。。昨天是一个。。

 

VIX降低可能还是和这个有关系的。。很少人会在昨天开option spread的。。

 

 

[ 本帖最后由 shyuan 于 2008-3-29 00:02 编辑 ]

zzhappy

看了班长的cluster 的分析，佩服的五体投地。高人就是可以从貌似无用的数据里发掘出金子。

下面贡献一点具体日期，还有星期几(5 = 星期五).

Ticker	Date/Time	Weekday	SPXChange	VIXChange	SPXNextday	SPXNextWeek	SPXNextMonth
^GSPC	5/25/1990	5	-1.07	-2.19	1.68	3.55	-0.64
^GSPC	7/20/1990	5	-1.02	-18.75	-1.77	-2.3	-9.34
^GSPC	8/2/1990	4	-1.14	-5.92	-1.92	-3.35	-9.32
^GSPC	9/26/1990	3	-1.04	-2.2	-1.36	2.11	2.47
^GSPC	10/16/1990	2	-1.42	-0.6	-0.05	4.5	6.27
^GSPC	11/15/1990	4	-1.05	-1.42	0.03	-0.61	3.09
^GSPC	11/20/1990	2	-1.26	-4.28	0.23	0.84	4.72
^GSPC	2/26/1991	2	-1.21	-12.17	1.34	3.78	3.72
^GSPC	4/5/1991	5	-1.16	-2.16	0.87	1.33	1.45
^GSPC	4/19/1991	5	-1.1	-3.7	-0.85	-1.36	-3.07
^GSPC	1/29/1992	3	-1.11	-0.28	0.31	0.85	0.86
^GSPC	8/6/1999	5	-1.02	-1.54	-0.19	2.11	4.38
^GSPC	5/17/2000	3	-1.24	-1.5	-0.74	-3.39	2.14
^GSPC	5/23/2000	2	-1.92	-0.5	1.8	3.34	7.66
^GSPC	11/16/2000	4	-1.26	-4.39	-0.34	-2.23	-4.38
^GSPC	12/19/2000	2	-1.3	-1.95	-3.23	1.84	2.83
^GSPC	9/21/2001	5	-1.9	-2.53	3.75	7.49	11.15
^GSPC	6/21/2002	5	-1.7	-0.92	0.36	0.07	-17.11
^GSPC	7/18/2002	4	-2.7	-0.94	-3.99	-5.06	5.52
^GSPC	8/13/2002	2	-2.17	-3.43	3.85	5.79	2.85
^GSPC	11/7/2002	4	-2.29	-0.17	-0.88	0.18	1.06
^GSPC	4/9/2003	3	-1.4	-0.07	0.64	1.6	6.27
^GSPC	4/16/2003	3	-1.22	-0.18	1.53	3.53	7.59
^GSPC	1/4/2005	2	-1.17	-0.72	-0.36	-0.43	0.43
^GSPC	3/27/2008	4	-1.15	-0.77	-0.79	-0.79	-0.79

bayliner1979

quarterly option应该是3月、6月、9月的最后一个交易日OE，所以应该是下星期一OE。

原帖由 shyuan 于 2008-3-29 00:01 发表   对了。。说一下，大家知道昨天是OE么？嘿嘿。。March有2个OE day。。昨天是一个。。   VIX降低可能还是和这个有关系的。。很少人会在昨天开option spread的。。    

shyuan

原帖由 bayliner1979 于 2008-3-29 01:07 发表 quarterly option应该是3月、6月、9月的最后一个交易日OE，所以应该是下星期一OE。

 

好像已经过了：

 

http://app.frogta.com/option/maxpain.jsp?symbols=spy

 

QQQQ

45.0

2008-03-27

2008-03-28

View

秋之皓月

MONDAY MIGHT BE ANOTHER DJI 400+ DAY...