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.
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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