BKX Signal + VIX vs VXO – MarketTells.com

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Bank stocks as represented by the BKX rallied over 2% Friday. When a rally of that magnitude has coincided with the release of the monthly jobs report, it’s typically coincided with the end of a rally phase rather than the beginning of a sustained move higher. Over the last 30 occurrences, the Bank Index was almost twice as likely to move lower over the following week (up 11, down 19). Average moves were big in both directions, with a 3% average gain and 6% average loss. Really big moves were much more likely to be lower, with only one 5%+ gain compared to nine 5%+ losses…

BKX +2% on Monthly Employment Report
08/06/21… BKX ??? one week later
09/04/20… BKX -1.9% one week later
08/07/20… BKX +2.0% one week later
06/05/20… BKX -10.8% one week later
05/08/20… BKX -9.7% one week later
01/04/19… BKX +1.5% one week later
03/09/18… BKX -2.7% one week later
02/03/17… BKX unch one week later
08/05/16… BKX -1.3% one week later
12/04/15… BKX -6.2% one week later
11/06/15… BKX -3.7% one week later
11/08/13… BKX +0.6% one week later
07/05/13… BKX +0.9% one week later
08/03/12… BKX +1.2% one week later
02/03/12… BKX -1.2% one week later
11/05/10… BKX -3.3% one week later
03/05/10… BKX +3.8% one week later
12/04/09… BKX -1.5% one week later
08/07/09… BKX +0.8% one week later
05/08/09… BKX -16.2% one week later
04/03/09… BKX +18.5% one week later
02/06/09… BKX -14.0% one week later
12/05/08… BKX -8.7% one week later
09/05/08… BKX +3.2% one week later
11/01/02… BKX -4.7% one week later
07/05/02… BKX -6.2% one week later
12/08/00… BKX -1.8% one week later
08/04/00… BKX +0.2% one week later
07/07/00… BKX +1.5% one week later
06/02/00… BKX -7.9% one week later
12/03/99… BKX -5.9% one week later

If you study volatility indices, you probably have noticed VIX has been running much higher than VXO (the ‘old VIX’). VIX ran up above the 20 level last week while VXO didn’t crack 18, and on Tuesday, VIX closed more than 20% above VXO. That was practically unheard of prior to 2014, but since then we’ve seen 18 separate occurrences. Stocks remained on a generally upward course over the following month in almost every case. Average gain was 2%, suggesting the potential for SPX 4500 by month-end…

VIX >20% Above VXO (first time in a week)
08/03/21… SPX ??? one month later
06/28/21… SPX +2.6% one month later
08/13/18… SPX +2.4% one month later
02/06/18… SPX +1.6% one month later
12/26/17… SPX +7.2% one month later
12/11/17… SPX +4.0% one month later
11/16/17… SPX +4.0% one month later
09/11/17… SPX +2.5% one month later
07/17/17… SPX +0.2% one month later
07/10/17… SPX +2.0% one month later
06/19/17… SPX +0.8% one month later
06/12/17… SPX +0.6% one month later
04/25/17… SPX +0.7% one month later
04/12/17… SPX +2.0% one month later
03/16/17… SPX -1.4% one month later
07/21/16… SPX +0.9% one month later
07/21/14… SPX +0.4% one month later
06/30/14… SPX +0.5% one month later
06/23/14… SPX +1.2% one month later