What Thursday’s Solid VIX Rise Suggests About The Next Few Days

Posted on July 25, 2014 by

The study below is from last night’s Quantifinder. New readers may wonder why I use a day-of-week filter with this study. The VIX has a natural tendency to fall on Fridays and rise on Mondays. Because of this I typically separate out those days from the rest of the week when conducting VIX-based studies. This particular study looks at large (2.5% + ) mid-week rises in the VIX during times the SPX is closing at a 50-day high, like we saw on Thursday. All results are updated.

2014-07-25 image1

Instances are a bit low, but the numbers are very lopsided and seem to suggest a downside tendency over the 1-4 day timeframe, with most of the damage being done in the 1st 2 days.

 

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About the author:

Rob Hanna is the founder of Quantifiable Edges, a quantitative market research service he has run since 2008. His research focuses on statistical analysis of U.S. equity markets. In 2009 he published "The Quantifiable Edges Guide to Fed Days," available on Amazon. He was named the 2024 recipient of the National Association of Active Investment Managers (NAAIM) Founders Award and has since joined the NAAIM Board of Directors. Rob also works with Capital Advisors 360 as an investment advisor representative, where he utilizes quantitative and volatility-based models. Follow him on X / Bluesky / StockTwits / Facebook / Substack