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   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   surprised   that   these   this   took   which   will

| More

Surging Prices and Obvious Trend in US Treasuries TLT
Wed, Jan 28, 3:31 PM ET, by Corey Rosenbloom

It’s no longer a “stealth” movement but a blatant, obvious development that Bond/Treasury prices have ...

Average Annual Normalized VIX Futures Term Structure, 2004-2014
Wed, Jan 28, 8:11 AM ET, by Bill Luby

One graphic I post periodically that never fails to generate a great deal of interest ...

Caterpillar CAT Shatters Support: Updating New Trading Levels
Tue, Jan 27, 12:21 PM ET, by Corey Rosenbloom

Caterpillar (CAT) shares shattered support at the $85.00 per share level on an earnings miss ...

Plotting the Current Range and Planning the Future SP500 Breakout
Mon, Jan 26, 3:21 PM ET, by Corey Rosenbloom

What goes up must come down, and in the market, what goes sideways must break ...

Jan 26 Recovery Market Update and Trending Stock Scan
Mon, Jan 26, 2:51 PM ET, by Corey Rosenbloom

Stocks stalled after surging from the QE intervention announcement in Europe. However, today’s session saw ...

The Year in VIX and Volatility (2014)
Mon, Jan 26, 8:11 AM ET, by Bill Luby

This is the seventh year in a row I have offered a retrospective look at ...

Top Posts of 2014
Sun, Jan 25, 5:51 PM ET, by Bill Luby

Since I launched VIX and More some eight plus years ago, I have devoted one ...

Support, A Breakout, and Missing Out in Netflix NFLX
Fri, Jan 23, 12:21 PM ET, by Corey Rosenbloom

If you didn’t catch Netflix (NFLX) off the critical support level, and now the breakout ...

Jan 22 Euro QE Market Update and Stock Scan
Thu, Jan 22, 3:21 PM ET, by Corey Rosenbloom

Like the expected knee-jerk reaction, stocks rallied on news that the European Central Bank will ...

Jan 21 Intraday Update and Big Trend Stock Scan
Wed, Jan 21, 2:51 PM ET, by Corey Rosenbloom

What levels are important in the market right now and which stocks are the top ...

Eight Top Intraday Trending Stocks for Jan 20
Tue, Jan 20, 4:41 PM ET, by Corey Rosenbloom

Which stocks topped our algorithmic list of strongest (and weakest) intraday trending stocks today? Let’s ...

Four Strong Trends Kicking off 2015
Tue, Jan 20, 4:11 PM ET, by Corey Rosenbloom

As 2015 continues, we’re seeing persistent trends develop across key markets. Let’s take a look ...

Jan 16 Stock Scan and Reversal Market Update
Fri, Jan 16, 3:31 PM ET, by Corey Rosenbloom

After yesterday’s Swiss Franc surprise (see the “Aftermath Update” post from this morning), the US ...

Documenting the Damage on the Swiss Franc Fallout
Fri, Jan 16, 1:41 PM ET, by Corey Rosenbloom

I wanted to highlight the ‘damage’ or intense price movement on select FOREX pairs because ...

Trade Planning off the 2000 Key Level in the SP500
Thu, Jan 15, 4:11 PM ET, by Corey Rosenbloom

It’s time once again to plan our intraday and swing trades off the key inflection ...

Jan 14 Selling Market Update and Trending Stock Scan
Wed, Jan 14, 1:51 PM ET, by Corey Rosenbloom

We have yet another sell session in motion, let’s take a moment to highlight key ...

Turnaround Tuesday Market Update and Stock Scan Jan 13
Tue, Jan 13, 3:23 PM ET, by Corey Rosenbloom

So far today has been a thrilling session. Let’s jump straight into our mid-day “turnaround” ...

Jan 12 Falling Market Update and Trending Stock Scan
Mon, Jan 12, 1:51 PM ET, by Corey Rosenbloom

We have another sell session in motion, let’s take a moment to highlight key levels, ...

Support and Resistance Planning to Start January 12
Mon, Jan 12, 11:51 AM ET, by Corey Rosenbloom

The S&P 500 (and Dow Jones Index) has compressed between moving average support and resistance ...

Are You Seeing this Stealth Move in Bonds TLT?
Fri, Jan 9, 2:31 PM ET, by Corey Rosenbloom

Pop Quiz – would you have made more money holding bonds all of 2014 or ...

A Flag and Planning the Next Swing in Apple AAPL
Fri, Jan 9, 12:31 PM ET, by Corey Rosenbloom

Which way will top trending stock Apple (AAPL) swing next? Let’s pinpoint the key levels ...

Bullish Breakout Stock Scan and Market Update Jan 8
Thu, Jan 8, 2:51 PM ET, by Corey Rosenbloom

This morning’s breakout above the market resistance level triggered a wave of buying – both ...

Relative Strength and Weakness Stock Scan Candidates for Jan 7
Wed, Jan 7, 3:41 PM ET, by Corey Rosenbloom

For today’s “Post-Fed Minutes Update,” let’s focus on the top four Relative Strength leaders and ...

2014 Had Third Highest Number of 20% VIX Spikes
Tue, Jan 6, 1:11 PM ET, by Bill Luby

By most measures, one would think that 2014 was a relatively quiet year for the ...

SP500 Completing the Arc into Target Levels
Tue, Jan 6, 11:31 AM ET, by Corey Rosenbloom

I’ve been highlighting this “Arc” or “Mirror Image” Pattern in the S&P 500 and US ...

Market Crashing Stock Scan and Level Update for Jan 5
Mon, Jan 5, 3:11 PM ET, by Corey Rosenbloom

Stocks tumbled sharply this morning, breaking a key support level which exacerbated the selling pressure ...

Dec 31 Quick Market Update and Stock Scan
Wed, Dec 31, 2:11 PM ET, by Corey Rosenbloom

So far, stocks are taking a breather (retracing) to end 2014 with two final days ...

Beautiful Arc Trading Opportunity for CME
Tue, Dec 30, 3:31 PM ET, by Corey Rosenbloom

CME Group (CME) is forming an ‘Arc Trendline’ pattern that is among my favorite patterns ...

Five Insights Only Monthly Charts Can Reveal to You
Tue, Dec 30, 10:41 AM ET, by Corey Rosenbloom

We’re accustomed to seeing stocks at all-time highs but what about other markets? And what ...

Dec 23 GDP Surge Breakout and Trending Stock Scan Update
Tue, Dec 23, 1:21 PM ET, by Corey Rosenbloom

Santa just stuffed our stocking earlier with a 5.0% US GDP growth, sending stocks gapping ...

Gaining Perspective from a Monthly Chart View
Tue, Dec 23, 10:11 AM ET, by Corey Rosenbloom

As we slide toward the end of 2014, let’s take a moment to review the ...

Dec 22 Range Midday Update and Strong Trending Stock Scan
Mon, Dec 22, 1:51 PM ET, by Corey Rosenbloom

We begin our holiday week awaiting the possible “Santa Claus” bullish rally to keep the ...

Dec 19 Rally Update and Daily Stock Scan
Fri, Dec 19, 3:11 PM ET, by Corey Rosenbloom

Up, up and away in the aftermath of the Fed Day! Stocks continued their short-squeezed ...

A Quick Grid of Overseas ETFs and Trends
Wed, Dec 17, 3:41 PM ET, by Corey Rosenbloom

With trends shifting and reversing across global markets, let’s step back and take a quick ...

Dec 17 Fed Day Market Update and Trending Stock Scan
Wed, Dec 17, 3:31 PM ET, by Corey Rosenbloom

With today’s Fed Day generating the typical pattern and volatility, let’s focus on our levels ...

Dec 16 Fed Day Market Update and Trending Stock Scan
Wed, Dec 17, 2:51 PM ET, by Corey Rosenbloom

With today’s Fed Day generating the typical pattern and volatility, let’s focus on our levels ...

Dec 16 Stock Scan and Market Update
Tue, Dec 16, 3:11 PM ET, by Corey Rosenbloom

This time, buyers rushed to buy value at a test of the key 1,980 confluence ...

The Arc of Crude Oil to Watch for Reversal
Tue, Dec 16, 1:41 PM ET, by Corey Rosenbloom

Arc Trendline Patterns are among my favorite things to see on a chart because of ...

Dec 15 VSpike Reversal Intraday Update and Stock Scan
Mon, Dec 15, 2:21 PM ET, by Corey Rosenbloom

After what looked like a positive opening, stocks continued their sell-swing lower, breaking the 2,000 ...

Dec 11 Power Rally Intraday Update and Stock Scan
Thu, Dec 11, 2:11 PM ET, by Corey Rosenbloom

Right on cue, and directly from the key confluence level I highlighted yesterday, the bulls ...

Look Out Below if this Simple Support Level fails for the SP500
Wed, Dec 10, 5:51 PM ET, by Corey Rosenbloom

The S&P 500 has retraced quickly to a known support target and we’ll focus on ...

Dec 10 Breakdown and Breakout Intraday Update with Stock Scan
Wed, Dec 10, 2:41 PM ET, by Corey Rosenbloom

After a stellar intraday reversal yesterday, sellers continued their pressure today with a breakdown Trend ...

Fibonacci Price Level Planning Grid for Tesla TSLA
Tue, Dec 9, 3:21 PM ET, by Corey Rosenbloom

What broader price levels are important for trading (or planning trades in) Tesla? Let’s chart ...

Dec 9 Gap into Support Update and Stock Scan
Tue, Dec 9, 1:51 PM ET, by Corey Rosenbloom

Even though we’re seeing the widely expected and highly logical pullback, buyers continue to show ...

Charting the Strongest and Weakest Sectors XLF and XLE
Mon, Dec 8, 4:41 PM ET, by Corey Rosenbloom

A longer-term comparison reveals the current strongest sectors and weakest sector for trade and position ...

Dec 5 Stock Scan and New High Market Update
Fri, Dec 5, 1:51 PM ET, by Corey Rosenbloom

Can this market actually go down? No. It can’t. ...

Watch these Key Levels for Trading the Breakdown in WYNN
Fri, Dec 5, 12:51 PM ET, by Corey Rosenbloom

If you’re trading WYNN stock or considering it – or just want to learn a ...

December 4 VSpike Reversal Intraday Update and Scan
Thu, Dec 4, 2:11 PM ET, by Corey Rosenbloom

Can this market actually go down? It seems like the answer is no – at ...

December 3 Rally Continues Market Update and Stock Scan
Wed, Dec 3, 1:51 PM ET, by Corey Rosenbloom

Monday indeed was the end of the pullback and short-lived victory for the bears. Now, ...

December 2 Bullish Update and Stock Scan
Tue, Dec 2, 3:31 PM ET, by Corey Rosenbloom

Yesterday seems to be all the pullback bears get. Buyers stepped back in as bears ...

  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 over 1000 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.