Jun

8

The VIX index is almost nearing the top 1-centile value of 10.66 (since 1990, when the data is available). Funnily VIX cash index (VXX only can achieve ~ 60% move of VIX cash index, if one gets it right, since 2009) points to an explosion to the upside, while $SPY is not doing an inverse move of that magnitude, and is non predictable… since the 1990s.

Below are non-interleaving-30 calendar day period 12 instances when VIX closes with in 101% of the top 1 centile known value at that date with a look back till 1990.

And here is $SPY for corresponding dates … apart from 16th February 2007 nothing significant seen on $SPY.


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