Close of Day of VIX vs. SPX

silicon_beaver

Close of Day of VIX vs. SPX

VIX and SPX, usually, if one closes up, then another closes down.
However, I noticed that some days VIX and SPX both closed up (or down), for example 11/18/2011 saw VIX and SPX both red (people might ask which one is valid indicator).

Just curiosity, I was wondering what chance next day would be, under previous Close of day? SPX green (up), red (down), or unchanged?
My interests:
If VIX and SPX both up, what next day SPX goes?
If VIX and SPX both down, what next day SPX goes?

Here, I share my calculation of the historical date using yahoo finance web (VIX from Jan 02 1990).

Summary, As of Nov 18 2011 from Jan 02 1990.
No positive correlation that SPX next day goes green, red, or unchanged, with previous Close of day.

Breakdown of calculation:

Total 5515 trade days since VIX introduced on Jan 02 1990.
i.. 593 days, SPX and VIX both went red (down). Next day? 326 next days SPX up, 266 days SPX down.
ii. 628 days, SPX and VIX both green (up). Next day? 296 next days SPX up, 332 days SPX down.
iii. 4261 days, one green, another red (either of VIX and SPX). Next day? 2293 days SPX up, 1964 days down. 4 days SPX unchanged.

Therefore, no positive correlation of SPX next day movement with previous Close of day, in any combinations.

Of 5515 trade days, 2932 days green (up, 53.16%), 2578 days red (down, 45.74%). 4 days unchanged. i.e. green is weak majority. Market, in general, moves up.

sycamores

        good thinking. you may need to add vix range

wymond

Good Job

al67

回复 silicon_beaver 的帖子

Great appreciate your infor, bulls have a little edge , not much. But with spx down marginally, qqq down quite bit,like a breakdown, why vix drop over 6%.
could you find out if vix  drop more than 3% while spy close in red, what happen then

silkway

东北妞

sycamores

回复 silicon_beaver 的帖子

VIX range. let's make it simple - two group vix value $vix>30 , $vix <30.  Seems 30 is a good number.

spo

我想subclass III有两种情况：
1. spx green，vix red
2. spx red，vix green
说不定分类之后各自有更大的edge。

假设vix leads，如果 1和2数量接近的话，那么III总体看来接近50-50，就像楼主上面的结果那样。

greenback

Greatly appreciated! We all should use quantitative data to back up claims like you!

silicon_beaver

sycamores 发表于 2011-11-20 04:48
回复 silicon_beaver 的帖子

VIX range. let's make it simple - two group vix value $vix>30 , $vix

I did calculate your two settings.

VIX <= 30
i. SPX and VIX both went red (down) when VIX <=30. Next day? 295 next days SPX up, 247 days SPX down.
ii. SPX and VIX both green (up) when VIX <=30. Next day? 277 next days SPX up, 316 days SPX down.

VIX > 30
i. SPX and VIX both went red (down) when VIX >30. Next day? 31 next days SPX up, 19 days SPX down.
ii. SPX and VIX both green (up) when VIX >30. Next day? 19 next days SPX up, 16 days SPX down.

Therefore, no positive correlation of SPX next day movement with previous Close of day, in any combinations.
That's same conclusion.

sycamores

thanks for your work.

usamonkey

silicon_beaver 发表于 2011-11-20 16:01
I did calculate your two settings.

VIX 30. Next day? 19 next days SPX up, 16 days SPX down.

maybe  spy is better.

silicon_beaver

Ok. here is my update for specific cases.

If VIX closed black (up but close lower than open), Next day?
119 days next days SPX up, 99 days SPX down. still about 50-50 chance.

If VIX closed black after two days up, Next day?
53 days next days SPX up, 34 days SPX down. Now 60-40 chance.

If VIX closed black after three days up, Next day?
21 days next days SPX up, 12 days SPX down. Now 64-36 chance.