What 100-day Highs In The VIX Could Imply For The Short-Term

The VIX is often referred to as the fear index.  When VIX levels are relatively high, that often suggests fear and uncertainty among market participants.  Relative highs can be measured a number of ways.  Often I will show VIX levels compared to short-term moving averages.  But an interesting study from yesterday’s Quantifinder looked at 100-day VIX highs that occurred when the SPX was not making 100-day lows.  In other words, relatively extreme fear in a market that is not making long-term lows.  The study was last seen in the 3/16/11 Subscriber Letter (click here for a free trial). I have updated it below.

The stats seem to suggest a bullish edge that persists for at least three weeks. Much of that edge is realized over the first 1-7 days.

And not only has this setup been followed by bullish inclinations over the time frames shown here, but it has also been a compelling overnight setup.  For details on the overnight implications check out today’s post on Overnight Edges.

Lastly, I also noticed this morning that Woodshedder posted a study based on the short-term VIX action last night which also appears to suggest a bullish edge.