What Follows Huge 1-Day VIX Spikes

Monday saw some unusually strong action.  One index that showed a real extreme move was the VIX.  It spiked up 34% as fear struck options traders.  In the past I have shown how 1-day spikes of 20% or greater have generally suggested an upside edge.  I’ve rerun that study tonight.  I did also look at moves of greater than 25% and 30%, but that did little to change the odds and just made instances fewer.  So I simply stuck with the old 20% parameter for the study below.

Next day stats suggest a solid upside tendency.  I would also note that the size of both the “Avg Winning” and “Avg Losing” trading is quite large for a 1-day move.  So regardless of whether the market moves higher or lower, we could see some strong action today.