A 20% 1-Day Decline In VXO

Monday’s market rally was accompanied by a big drop in some implied volatility measures. The VXO, which is the old calculation for the VIX, saw a decline of over 22% on Monday. The study below is one I have shown before. It looks at SPX performance the day following VXO declines of 20% or more. Stats are all updated.

2015-07-14 image1

Numbers here seem to suggest a downside edge for Tuesday. Traders may want to keep this in mind today.


Want research like this delivered directly to your inbox on a timely basis? Sign up for the Quantifiable Edges Email List.