VIX, VXO Set to Trigger Bottoming Signal

Volatility indexes surging for the second day in a row Wednesday, with VIX and VXO both up approximately 15%. That’s on top of similarly large gains on Tuesday, which suggests a bottom is in the making. Certainly possible we could trade a bit lower near-term, but back-to-back 10%+ gains for VXO has been a reliable indication of a higher S&P three or five trading days later. Out of 28 separate occurrences since 1985, all but two led to a higher S&P three or five sessions later. Even on the two occurrences that failed, the S&P was only down fractionally five sessions later…

VXO Closes Up 10%+ Two Consecutive Sessions
05/07/10… OEX +4.9% three days later
01/22/10… OEX +0.6% three days later
11/06/08… OEX +0.0% three days later
10/10/08… OEX +1.6% three days later
07/27/07… OEX +0.4% three days later
06/07/07… OEX +0.1% three days later
11/27/06… OEX +1.1% three days later
07/13/06… OEX +0.9% five days later
06/13/06… OEX +2.2% three days later
04/14/05… OEX -0.2% five days later (*)
08/06/04… OEX +0.9% three days later
03/11/04… OEX +0.3% three days later
01/27/03… OEX +1.5% five days later
03/12/01… OEX -0.6% five days later (*)
10/12/00… OEX +1.1% three days later
05/03/00… OEX +0.3% three days later
10/13/99… OEX +1.2% five days later
01/12/99… OEX +1.5% five days later
10/01/98… OEX +0.3% three days later
12/11/97… OEX +1.3% three days later
03/31/97… OEX +0.6% five days later
07/23/96… OEX +1.7% three days later
01/10/96… OEX +0.4% three days later
11/04/93… OEX +0.5% three days later
02/07/91… OEX +2.3% three days later
08/06/90… OEX +1.6% three days later
10/19/87… OEX +12.6% three days later
09/12/86… OEX +0.3% three days later

For this to be triggered Wednesday, VXO needs to close above 25.83.

Categories : Archived Intraday Commentary, Intraday Commentary

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