Self Directed Investor Inc
SDI: "Empowering investors with ideas and education"
Symbol Lookup »  
Topics:ChinaETFsEarningsEconomyEnergyForexGoldIncomeLessonsIdeasTrading

  • Other news: News from PR Newswire
| More

EconomPic Data's VIX and S&P 500 Performance Matrices

Tue, Jan 17, 12:11 PM ET, by Bill Luby

Last week, Jake at EconomPic Data took up the subject of the VIX as a Predictor of Equity Returns in a post that examined the daily returns of SPY based on the level of the VIX.

Today Jake has introduced another factor into his analysis in S&P 500 / VIX Matrix, where the performance of both the SPX/SPY and the VIX are evaluated based not just on the absolute level of the VIX, but also based on the performance of the VIX over the prior month.

The results are plotted in two matrices, one for SPX/SPY performance and the other for VIX performance.

Long-term readers of this blog will not be surprised to see that the VIX spike and mean-reverting aspects of the VIX dominate the key takeaways from this table, with high levels of the VIX creating for some sweet spots in terms of predictability of future returns for both the SPX/SPY and the VIX.

Also worth noting is a point that I have mentioned here on many occasions in the past: that the mean reversion characteristics of the VIX are much less compelling for a low VIX than for a high VIX.

Finally, it is important to keep in mind not just the number of data points on the chart, but the events that these encompass. A good reference can be found in VIX Sets New Records, Suggesting Volatility Near Peak, which I penned in August 2011. The data in my August post should serve as a reminder that any set of data points which include a VIX of over 50 will be limited entirely to the 2008-2009 financial crisis. In contrast, just moving the relevant bucked down to 48 (on an intraday basis) will capture six other crises from the past two decades and provide enough diversity of experience from which to draw substantially more meaningful conclusions.

Related posts:

Disclosure(s): none



SDI Glossary: "Equity" Definition
SDI Glossary: "Option" Definition
SDI Glossary: "Short" Definition
SDI Glossary: "VIX" Definition
This Article's Word Cloud:   Action   August   Days   Four   Jake   Long   Near   Peak   Price   Records   Sets   Short   Signal   Spike   Suggesting   Term   Volatility   absolute   adsbygoogle   also   analysis   another   based   both   data   decades   from   high   important   just   keep   less   level   many   mean   other   over   past   performance   points   post   returns   serve   subject   that   these   this   took   which   will

| More

Aug 28 Sideways Market Update and Stock Scan
Fri, Aug 28, 3:11 PM ET, by Corey Rosenbloom

Yesterday’s relief rally stalled into overhead resistance at the 1,990 target level. What levels are ...

Finally a Bounce Back Reversal for Crude Oil
Fri, Aug 28, 1:31 PM ET, by Corey Rosenbloom

Like stocks, Crude Oil is finally getting a strong bullish bounce. However, unlike stocks, Crude ...

August 27 Big Trend Rally Update and Stock Scan
Thu, Aug 27, 2:31 PM ET, by Corey Rosenbloom

The bounce continued! The relief rally propelled stock prices higher, breaking free from a Triangle ...

New Color Structure and Value Area Reference Chart for SP500
Thu, Aug 27, 11:41 AM ET, by Corey Rosenbloom

During volatile times, it’s often helpful to step back to get a broader, simpler perspective ...

August 26 Bouncing Market Update and Big Stock Scan
Wed, Aug 26, 3:21 PM ET, by Corey Rosenbloom

Eventually this market has to rally, right? We’ll see – continue focusing on our key ...

Today's Midday Update is Very Different than Yesterday's Aug 25
Tue, Aug 25, 2:11 PM ET, by Corey Rosenbloom

While yesterday was another powerful sell (liquidation) session in the market, today sparks a sudden ...

Third Biggest and Second Longest SPX Peak to Trough Pullback Since March 2009
Mon, Aug 24, 8:51 PM ET, by Bill Luby

Nary a pullback goes by without at least a handful of requests to update my ...

Last Two Days Are #5 and #6 One-Day VIX Spikes in History
Mon, Aug 24, 6:11 PM ET, by Bill Luby

Many readers have commented that one of their favorite of my regular graphics is the ...

Four Strong Dow Stocks Shattered by the Selloff (But Bouncing Back)
Mon, Aug 24, 2:11 PM ET, by Corey Rosenbloom

Until recently, four leading stocks in the Dow Jones Index were trending stably, comfortably higher ...

Apple AAPL Big Drop into Bigger Buy Support Target Update
Mon, Aug 24, 1:11 PM ET, by Corey Rosenbloom

Apple shares (AAPL) declined with the technology sector and of course broader market recently, though ...

Start the Week with a Monthly Perspective of the Stock Market Collapse
Mon, Aug 24, 11:31 AM ET, by Corey Rosenbloom

Friday, we discussed a “Weekly Chart Perspective of the Retracement” so let’s take a moment ...

Aug 21 Steep Selloff Market Update and Stock Scan
Fri, Aug 21, 3:11 PM ET, by Corey Rosenbloom

The Steep Stock Market Retracement continues with a breakdown under yet another support level (2,045) ...

Weekly Chart Perspective on the Steep Stock Market Selloff
Fri, Aug 21, 1:21 PM ET, by Corey Rosenbloom

Given the negative divergences in momentum, volume, breadth, and market internals – along with the ...

Downtrending Collapse Market Update and Daily Stock Scan
Thu, Aug 20, 4:21 PM ET, by Corey Rosenbloom

Stocks continued the bearish action, breaking away from the midpoint level of 2,100 toward the ...

Extreme Reward but High Risk for Leveraged Inverse Crude Oil DWTI and DTO
Wed, Aug 19, 12:41 PM ET, by Corey Rosenbloom

How would you like to buy a stock – or ETF – that tripled in ...

Weak Stock WalMart WMT Breaks to New Lows in Downtrend
Wed, Aug 19, 11:31 AM ET, by Corey Rosenbloom

Wal-Mart (WMT) continues to appear on our stock scans as a “Weak Stock Getting Weaker,” ...

Strong Trending Home Depot HD Surges to New Highs
Tue, Aug 18, 1:31 PM ET, by Corey Rosenbloom

We love the concept of “Strong Stocks Getting Stronger,” and Home Depot (HD) continues to ...

A Key Make or Break Level Here for Russell 2000 and IWM
Tue, Aug 18, 11:21 AM ET, by Corey Rosenbloom

The Russell 2000 Small Cap Index has shown relative weakness to the S&P 500, but ...

August 17 Range Reversal Update and Trending Stock Scan
Mon, Aug 17, 3:21 PM ET, by Corey Rosenbloom

The broader consolidation continued as price reversed strongly off support this morning. What levels are ...

Yes We Really Are Still Within a Simple Trading Range
Mon, Aug 17, 12:11 PM ET, by Corey Rosenbloom

We begin the new week at the midpoint of our broader trading range rectangle in ...

Aug 14 Big Stock Scan and Intraday Range Update
Fri, Aug 14, 4:11 PM ET, by Corey Rosenbloom

After a volatile Wednesday, stock prices settled into a welcome trading range consolidation to end ...

Buying and Trading Levels for Amazon AMZN
Fri, Aug 14, 2:31 PM ET, by Corey Rosenbloom

What levels are key for traders in Amazon.com (AMZN) now? Based on these levels, what ...

August 13 Stock Scan and End of Day Market Update
Thu, Aug 13, 4:31 PM ET, by Corey Rosenbloom

Yesterday’s rally continued into today’s session though price fell shy of the full touch of ...

Big Reversal Market Update and Super Stock Scan Aug 12
Wed, Aug 12, 3:21 PM ET, by Corey Rosenbloom

Well we should never refer to the market as boring! Today’s session saw a surprise ...

August 11 Breakdown Update and Big Stock Scan
Tue, Aug 11, 4:11 PM ET, by Corey Rosenbloom

The market continues to trade within a well-defined trading range and the last two sessions ...

The Sugar Sweet Downtrend of 2015
Tue, Aug 11, 10:11 AM ET, by Corey Rosenbloom

Sugar’s slide continues in one of the most persistent and stable trend structures. Let’s take ...

The Thrilling Exciting Nonstop Great Trading Range of 2015 Simply Continues
Mon, Aug 10, 12:11 PM ET, by Corey Rosenbloom

How are you doing within the Great Trading Range of 2015? One of the first ...

Six Dow Jones Stocks at Fresh New 52 Week Lows
Thu, Aug 6, 1:51 PM ET, by Corey Rosenbloom

Not all is well with the Dow Jones Industrial Average. While some stocks are getting ...

Updating the Trading Range Levels in the SP500
Thu, Aug 6, 1:21 PM ET, by Corey Rosenbloom

The 2015 Trading Range continues for the market as prices fell once again to challenge ...

August 5 Surge Market Update and Trending Stock Scan
Wed, Aug 5, 3:41 PM ET, by Corey Rosenbloom

Despite a strong morning rally, price fell back toward the 2,100 level, continuing our range ...

A Dynamic Drop into Support for Strong Trender Disney DIS
Wed, Aug 5, 2:11 PM ET, by Corey Rosenbloom

Not to be outdone by Apple’s (AAPL) big gap into support yesterday, strong trending stock ...

August 4 Big Mover Stock Scan and Market Update
Tue, Aug 4, 3:31 PM ET, by Corey Rosenbloom

Stocks tested their lows as an ongoing consolidation (range) environment continues. What levels are we ...

A Big Drop and Breakdown for Apple AAPL into Target
Tue, Aug 4, 11:31 AM ET, by Corey Rosenbloom

Apple (AAPL) shares entered distribution mode with a breakdown under support and the 200 day ...

What Two Breadth Charts are Saying about the Current SP500
Tue, Aug 4, 10:11 AM ET, by Corey Rosenbloom

Is a reversal developing in the stock market? Let’s listen to the message from two ...

Start of August Update and Trending Stock Scan
Mon, Aug 3, 3:21 PM ET, by Corey Rosenbloom

Though buyers attempted a bounce-rally up off 2,100’s key support level, they failed as the ...

Key SP500 Trendline Planning Levels to Start the Week
Mon, Aug 3, 11:21 AM ET, by Corey Rosenbloom

Short term traders benefit from taking a moment to view the larger picture of ongoing ...

July 30 Bounce Market Update and Trending Stock Scan
Thu, Jul 30, 2:41 PM ET, by Corey Rosenbloom

Buyers bought a downside swing this morning, resulting in a price swing back to the ...

Planning Levels for Buying Facebook FB at Support
Thu, Jul 30, 11:51 AM ET, by Corey Rosenbloom

Is this the spot to buy Facebook (FB) shares? Let’s update our daily chart levels, ...

PreFed Price Level Planning on SP500 Dow and NASDAQ
Wed, Jul 29, 3:31 PM ET, by Corey Rosenbloom

As we head into today’s Federal Reserve announcement, let’s quickly update our key levels on ...

July 27 More Selling Market Update and Big Stock Scan
Mon, Jul 27, 3:51 PM ET, by Corey Rosenbloom

Stocks continued their sell-off toward lower support targets, and that’s where we begin today’s update. ...

Traders Should Watch this Level in Netflix NFLX
Mon, Jul 27, 11:51 AM ET, by Corey Rosenbloom

After a price surge and gap higher, Netflix (NFLX) shares are retracing in an ongoing ...

Simple Support and Resistance Grid for MannKind MNKD
Fri, Jul 24, 3:21 PM ET, by Corey Rosenbloom

A couple readers have asked me to chart MannKind (MNKD) – a low priced but ...

July 24 High Activity Market Update and Stock Scan
Fri, Jul 24, 2:51 PM ET, by Corey Rosenbloom

With many stocks gapping, gold surging, and stock plunging, there’s a lot to cover in ...

July 23 Selling Market Update and Big Stock Scan
Thu, Jul 23, 3:51 PM ET, by Corey Rosenbloom

After a small morning bounce off support, stocks continued falling along the sell pathway from ...

July 22 Market Update AAPL Gap and Daily Stock Scan
Wed, Jul 22, 3:11 PM ET, by Corey Rosenbloom

So far, we’re seeing a repeat of yesterday’s morning weakness, afternoon stability, and rally into ...

July 21 Stock Scan and Sell Swing Market Update
Tue, Jul 21, 2:51 PM ET, by Corey Rosenbloom

The logical and expected sell-swing (retracement) developed against a background of resistance and divergences. However, ...

Finally a Pullback - Charting ES and YM Stock Futures
Tue, Jul 21, 11:41 AM ET, by Corey Rosenbloom

Is this the pullback we’ve been waiting for? Let’s do a quick morning update of ...

July 20 Bull Market Continues Market Update and Stock Scan
Mon, Jul 20, 3:11 PM ET, by Corey Rosenbloom

The short-squeeze and bullish price surge continues in the stock market at the same time ...

Bear Trap Trigger Puts Price on Path to All Time Highs for Apple AAPL
Mon, Jul 20, 11:41 AM ET, by Corey Rosenbloom

After springing a Bear Trap, Apple (AAPL) shares pivoted and trapped the short-sellers, placing price ...

July 17 Flat Market Update and Big Mover Stock Scan
Fri, Jul 17, 3:11 PM ET, by Corey Rosenbloom

Despite the strength of technology leaders Google and Facebook (among others), the S&P 500 is ...

  More articles:  1 2 3 4 5 6 7 next »

ABOUT US »   ADVERTISE »   CONTACT US »   TERMS OF USE & PRIVACY POLICY »

EconomPic Data's VIX and S&P 500 Performance Matrices | Self Directed Investor | Copyright © 2008 - 2015, All Rights Reserved

Any ideas and opinions presented in Self Directed Investor content are for informational and educational purposes only, and do not reflect the opinions of BNK Invest, Inc. or any of its affiliates, subsidiaries or partners. In no way should any content contained herein be interpreted to represent trading or investment advice. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. All site visitors agree that under no circumstances will BNK Invest, Inc,. its subsidiaries, partners, officers, employees, affiliates, or agents be held liable for any loss or damage caused by your reliance on information obtained. Read Full Disclaimer.

SDI is associated with: ValueForum.com -- a subscription-based online social networking forum of serious individual investors. | MarketNewsVideo.com -- videos appearing on SDI are produced by Market News Video. | TickerTech.com -- stock quote content appearing on SDI is at least 20 minutes delayed and is powered by Ticker Technologies. | GoldStockStrategist.com -- Edited by Scott V. Nystrom, PhD, Gold Stock Strategist provides analysis on gold mining companies.