What 100-day Highs In The VIX Could Imply For The Short-Term

Print This!

The VIX is often referred to as the fear index.

When VIX levels are relatively high, that often suggests fear and uncertainty among market participants.  Relative highs can be measured a number of ways.  Often I will show VIX levels compared to short-term moving averages.  But an interesting study from yesterday’s Quantifinder looked at 100-day VIX highs that occurred when the SPX was not making 100-day lows.  In other words, relatively extreme fear in a market that is not making long-term lows.  The study was last seen in the 3/16/11 Subscriber Letter (click here for a free trial). I have updated it below.
2012 12 27 What 100 day Highs In The VIX Could Imply For The Short Term

The stats seem to suggest a bullish edge that persists for at least three weeks. Much of that edge is realized over the first 1-7 days.

And not only has this setup been followed by bullish inclinations over the time frames shown here, but it has also been a compelling overnight setup.  For details on the overnight implications check out today’s post on Overnight Edges.

Lastly, I also noticed this morning that Woodshedder posted a study based on the short-term VIX action last night which also appears to suggest a bullish edge.

 

rob hanna What 100 day Highs In The VIX Could Imply For The Short TermContributed by Rob Hanna, Quantifiable Edges

 

Pages: Next

Be kind & share...Share on Facebook0Tweet about this on Twitter0Share on LinkedIn0Pin on Pinterest0Share on Google+0Digg this
.

Disclaimer: The content included herein is for educational and informational purposes only, and readers agree to Wall Street Sector Selector's Disclaimer, Terms of Use, and Privacy Policy before accessing or using this or any other publication by Wall Street Sector Selector or Ridgeline Media Group, LLC.

Go to Wall Street Sector Selector Home or Check our Special Wall Street News Section

Visit Us On TwitterVisit Us On FacebookVisit Us On YoutubeVisit Us On Linkedin
Make sure you create your redirects.txt file and that it's readable by the redirect script.