This Volatility Signal Has Always Led to a Higher S&P Two Months Later

It may have only happened 13 times in the history of the index, but it’s nonetheless noteworthy that on Friday VXO posted its seventh consecutive lower close. Volatility indexes normally oscillate within a fairly well-defined range, so it’s rare to see the index trend in one direction for a sustained period of time. When that occurs, there are usually important longer-term implications. Of the 13 separate times VXO closed down seven days in a row, the S&P was higher two months (forty trading days) later every time, averaging a gain of 4.2%…

VXO Down Seven Consecutive Sessions
03/25/11… S&P500 ??? two months later
11/10/09… S&P500 +4.8% two months later
07/17/09… S&P500 +11.6% two months later
08/24/07… S&P500 +1.8% two months later
05/24/05… S&P500 +2.8% two months later
10/19/98… S&P500 +9.5%  two months later
07/14/94… S&P500 +3.3%  two months later
12/23/93… S&P500 +0.1% two months later
01/18/93… S&P500 +3.3% two months later
07/16/92… S&P500 +0.5% two months later
01/31/91… S&P500 +8.0%  two months later
11/19/90… S&P500 +2.7% two months later
12/21/87… S&P500 +3.4% two months later
05/06/87… S&P500 +3.4% two months later

Categories : Archived EOD Commentary, End-of-Day Commentary

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