VIX's Double Jump

In most of the world, yesterday’s big news was that the S&P 500 index fell 5% for the second day in a row. Here at VIX Central, I was also interested to note that the VIX jumped 10% for the second day in a row, something that has happened on nine previous occasions going back to 1990.

From a market timing perspective, the history of consecutive double digit jumps in the VIX does show a significant bullish bias going forward, but not one that develops until after the first day. In the graphic below, courtesy of Yahoo, I have also put these nine double jumps into historical perspective by marking them with blue arrows. These double jump days do tend to appear at important inflection points, but these are not necessarily at reversals, nor are they necessarily associated with bull markets. On balance, however, I would consider this double jump VIX activity to be a bullish development. (Click chart to enlarge.)

Comments

[Owen:]

The VIX index itself already measures relative volatility in percentage points, so absolute changes to it are more meaningful than percentage changes.

How many other instances were there when the VIX index jumped 16 points in two days? In addition to yesterday, this happened recently between 20 and 22 of October, and in the two days leading up to Aug. 6, 1990, when it jumped from 20 to 36.

2008 Nov 07 11:57 AM

[tekram:]

Tradestation data $VXO.X to Jan 1986
When has VXO advances >= 13% each of 2 consecutive days?
09/12/1986 16.2957 %
10/19/1987 312.9502 %
08/06/1990 23.9563 %
07/23/1996 13.4696 %
03/11/2004 15.4787 %
07/27/2007 15.2503 %
11/06/2008 19.7388 %

When has the VXO index jumped >=12 pts in two days combined?
10/21/1987 76.28
10/22/1987 37.78
10/28/1987 32.09
10/29/1987 32.85
10/30/1987 19.83
10/13/2008 15.40
10/14/2008 27.54
10/20/2008 17.62
10/21/2008 15.28
10/28/2008 13.35
11/04/2008 13.41

VIX vs VXO vixandmore.blogspot.co...

2008 Nov 07 02:28 PM