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

How to Use Breadth to Make Sense of a Hideous Flat Market Range
Fri, May 22, 2:41 PM ET, by Corey Rosenbloom

How in the world do you make any actionable sense at all of this pattern ...

May 22 Stock Scan and Range Day Holiday Update
Fri, May 22, 2:21 PM ET, by Corey Rosenbloom

Buyers continue to enact their will on the market, preventing what would otherwise be a ...

Perfect ABCD Pullback Example in Crude Oil
Thu, May 21, 2:21 PM ET, by Corey Rosenbloom

When we last left Crude Oil in our updates, it was trading down into a ...

May 20 Melt Up Market Update and Big Bullish Stock Scan
Wed, May 20, 2:41 PM ET, by Corey Rosenbloom

The market was at risk for a “Melt Up” or “Collapse Higher” today and heated ...

Still Planning a Breakout or Reversal in the SP500 Wedge
Wed, May 20, 11:41 AM ET, by Corey Rosenbloom

Is today the day price will break violently higher in a short-squeeze… or else fall ...

Strongest and Weakest Dow Jones Stocks on May 19 Volatile Session
Tue, May 19, 4:21 PM ET, by Corey Rosenbloom

Let’s dig a little deeper to find which stocks are participating with today’s spastic trend ...

New John Carter Video on How to Find Stocks Before Hedge Funds Get In
Tue, May 19, 10:11 AM ET, by Corey Rosenbloom

I really found John Carter’s new video training interesting and learned a few facts I ...

Melt Up Market Update and Diverse Stock Scan May 18
Mon, May 18, 2:51 PM ET, by Corey Rosenbloom

The market was at risk for a “Melt Up” or “Collapse Higher” today and heated ...

Today's Strongest and Weakest Dow Stocks Right Now May 18
Mon, May 18, 12:31 PM ET, by Corey Rosenbloom

With the market tilting toward the “Breakout” or “Melt-Up” outcome I highlighted in this morning’s ...

Breakout or Bull Trap? A Quick Plan for the SP500 and Dow Now
Mon, May 18, 11:21 AM ET, by Corey Rosenbloom

Right now we’re playing the “Will it really break out or is this just another ...

What We Thought was a Sideways Range was NOT What We Assumed
Fri, May 15, 6:11 PM ET, by Corey Rosenbloom

Quite simply, what we THOUGHT was a Sideways Range was NOT actually a Sideways Trading ...

What is Moving in the Market Today Update and Stock Scan May 15
Fri, May 15, 1:41 PM ET, by Corey Rosenbloom

What’s going on behind the scenes of the stock market today as a possible Bull ...

A Quick Way to Chart the Cycles in Volatility
Thu, May 14, 3:11 PM ET, by Corey Rosenbloom

There’s a quick and easy way to chart Volatility and assess whether we’re in a ...

Is This the Tradable Breakout in Gold?
Thu, May 14, 10:31 AM ET, by Corey Rosenbloom

Wednesday saw a huge impulse movement for Gold into a key target. What happens if ...

Still on Breakout Watch for the SP500
Thu, May 14, 10:11 AM ET, by Corey Rosenbloom

2015 so far has given us two tight range consolidations in the S&P 500 and ...

Revisited - Stepping Inside a Volume Divergence
Wed, May 13, 10:41 AM ET, by Corey Rosenbloom

What happens when price rallies into resistance with declining (diverging) volume? Let’s step inside this ...

Revisiting How to Trade a Simple Bull Flag
Tue, May 12, 4:41 PM ET, by Corey Rosenbloom

One of my favorite intraday patterns is the bull and bear flags. How do you ...

Quick Insights on Volume and Open Interest
Tue, May 12, 10:31 AM ET, by Corey Rosenbloom

Traders frequently combine volume studies with price studies and indicators to gather a larger picture ...

CME Breaks into Open Air Buy Zone to Continue Strong Uptrend
Mon, May 11, 11:11 AM ET, by Corey Rosenbloom

CME Group (CME) offered traders a breakout buy opportunity as the strong uptrend continued. Shares ...

Join Me Live Wednesday Morning for a Live Trading Challenge at the Money Show Las Vegas
Fri, May 8, 7:31 PM ET, by Corey Rosenbloom

I’m not quite sure what I got myself into but I eagerly accepted a challenge ...

Short Squeezed Bullish Surging Market Update and Big Stock Scan May 8
Fri, May 8, 2:11 PM ET, by Corey Rosenbloom

The trading range continued which meant that today’s session was another expected bullish surge up ...

Triple US Stock Market Index Chart and Level Update
Fri, May 8, 1:11 PM ET, by Corey Rosenbloom

This morning’s Jobs Report was the catalyst that continued the rally off support as price ...

Walmart WMT at Critical Support Pivot Planning
Thu, May 7, 3:11 PM ET, by Corey Rosenbloom

Wal-Mart is a component in the Dow Jones Index that is facing a critical support-test ...

Relief Rally Market Update and Big Stock Scan May 7
Thu, May 7, 2:31 PM ET, by Corey Rosenbloom

Surprisingly, the market is behaving normally at least in terms of efficient movement between – ...

May 6 Collapsing Stock Market Update and Big Trender Stock Scan
Wed, May 6, 2:51 PM ET, by Corey Rosenbloom

After an overnight bounce off daily support, sellers again dominated the market today, resulting in ...

May 5 There She Goes Market Liquidation Update and Bearish Stock Scan
Tue, May 5, 3:21 PM ET, by Corey Rosenbloom

With price doing exactly what it should be doing given the weakness and numerous divergences ...

Crude Oil Finally Breaks Through to Open Air Pocket
Tue, May 5, 11:21 AM ET, by Corey Rosenbloom

Crude Oil broke through a critical resistance cluster today triggering a breakout into “Open Air.” ...

Disney DIS Surprises with New Highs but Watch the Trap
Tue, May 5, 10:21 AM ET, by Corey Rosenbloom

Disney (DIS) – one of the strongest trending names in the Dow Jones Index – ...

John Carter's "How to Make Money in the Stock Market" Intro eBook
Mon, May 4, 7:41 PM ET, by Corey Rosenbloom

If you’re a brand new aspiring trader, or even an intermediate trader looking to refresh ...

John Carter's "Making Money in the Stock Market" Intro eBook
Mon, May 4, 7:31 PM ET, by Corey Rosenbloom

If you’re a brand new aspiring trader, or even an intermediate trader looking to refresh ...

May 4 Stock Scan and Neverending Bull Trend Market Update
Mon, May 4, 2:51 PM ET, by Corey Rosenbloom

Quick – let’s take a poll. When will this bull market end? Never? Good guess! ...

Essential Make or Break Level Brewing in Keurig Green Mountain Coffee GMCR
Mon, May 4, 1:41 PM ET, by Corey Rosenbloom

“Will it break or will it hold?” That is the key question facing traders as ...

Current Low Volatility Forecasting a High Volatility Future
Mon, May 4, 1:11 PM ET, by Corey Rosenbloom

If you’re finding the current low volatility environment boring or lackluster, wait a few more ...

Plotting and Planning the Next Swing Trade in Crude Oil
Sun, May 3, 2:11 PM ET, by Corey Rosenbloom

Crude Oil traded powerfully up to a known resistance target, and we’ll plan our next ...

Bull Trap Down to Support in Apple AAPL Trade Planning
Fri, May 1, 12:51 PM ET, by Corey Rosenbloom

Apple (AAPL), just like the broader S&P 500, snapped a Bull Trap on a failed ...

A Hideous Bull Trap Snaps Gold GLD Traders
Thu, Apr 30, 4:51 PM ET, by Corey Rosenbloom

If you’re trading Gold or the ETF GLD this week, you probably are suffering a ...

A Quick Level Planning SP500 Update on the Bull Trap Breakdown
Thu, Apr 30, 4:11 PM ET, by Corey Rosenbloom

Today’s Breakdown under support officially triggers a “Bull Trap” Outcome and tilts the market to ...

Bears Claim Victory Market Update and Trending Stock Scan to End April
Thu, Apr 30, 3:21 PM ET, by Corey Rosenbloom

I’m seeing bears celebrate today’s sell-swing but this is actually the most logical/expected outcome given ...

A Second V-Spike Reversal Day and Big Stock Scan GDP Fed April 29
Wed, Apr 29, 3:41 PM ET, by Corey Rosenbloom

US GDP, a Federal Reserve (FOMC) announcement, a Dollar breakdown, Twitter’s (TWTR) breakdown, a V-Spike ...

Down for the Dollar and Up for the Euro on GDP Fed Day
Wed, Apr 29, 1:51 PM ET, by Corey Rosenbloom

Today’s surprise decline in the reported US GDP was the catalyst that finally broke the ...

Support Planning and Level Targeting for India Bombay and NIFTY
Wed, Apr 29, 12:21 PM ET, by Corey Rosenbloom

India’s Bombay Sensex and “Nifty 50″ Indexes are trading into critical support levels and could ...

Yahoo YHOO Building Toward a Triangle Breakout
Wed, Apr 29, 11:31 AM ET, by Corey Rosenbloom

If you’re trading Yahoo! (YHOO), you may have a breakout trading opportunity shaping up as ...

Big V-Spike Intraday Reversal and High Activity Stock Scan April 28
Tue, Apr 28, 1:41 PM ET, by Corey Rosenbloom

In case you were becoming bored with the market, price threw us an exciting curve ...

Four Power Trending Stocks to Study
Tue, Apr 28, 10:41 AM ET, by Corey Rosenbloom

Which stocks topped our “Steady, Stealthy Trender” Scan this week? Let’s take a look at ...

A Bearish Engulfing at the Highs: SP500 Planning
Tue, Apr 28, 10:11 AM ET, by Corey Rosenbloom

Will the clear Bearish Engulfing Candle at the highs result in a logical sell-off in ...

What Sector Rotation is Saying So Far in 2015
Mon, Apr 27, 12:31 PM ET, by Corey Rosenbloom

As we transition from April into May, let’s examine what the Sector Rotation model suggests ...

April 24 Rally Rages Market Update and Stock Scan
Fri, Apr 24, 2:31 PM ET, by Corey Rosenbloom

A cynic would ask “When does this rally end?” A trader… couldn’t care less. Buyers ...

Join Me TONIGHT for a Free Coaching Webinar!
Thu, Apr 23, 12:41 PM ET, by Corey Rosenbloom

I wanted to invite you personally to join me live this Thursday evening for a ...

Trend Trading and Triangles for Euro and US Dollar
Thu, Apr 23, 12:21 PM ET, by Corey Rosenbloom

2014 saw a huge trend persist in the currency markets, specifically with the US Dollar ...

Match Your Trading Style with the Market
Thu, Apr 23, 11:31 AM ET, by Corey Rosenbloom

If you’re a developing trader, how would you describe your trading style? If you’re a ...

  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.