Today's SPX and VIX both went up more than 1%. That's a rare
occurrence indeed. In fact, this has happened only 15 times since November
1997. I did a simple analysis to see how the market performed 1 day, 3 days, 1
week, and 1 month after each such occurrences:
|
Date
|
S&P Change
|
VIX Change
|
Prev Day VIX Change
|
SPX
+1 Day
|
SPX
+3 Day
|
SPX
+1 Week
|
SPX
+1 Month
|
|
20090715
|
2.96%
|
3.56%
|
-9.34%
|
?
|
?
|
?
|
?
|
|
20090601
|
2.58%
|
3.87%
|
-8.68%
|
+0.20%
|
-0.004%
|
-0.40%
|
-2.07%
|
|
20031218
|
1.18%
|
3.72%
|
-2.20%
|
-0.05%
|
+0.63%
|
+0.62%
|
+4.55%
|
|
20031201
|
1.13%
|
2.76%
|
0.55%
|
-0.33%
|
-0.04%
|
-0.04%
|
+3.58%
|
|
20030902
|
1.39%
|
2.09%
|
0.81%
|
+0.42%
|
-0.06%
|
+0.12%
|
-0.02%
|
|
20030707
|
1.90%
|
3.46%
|
1.89%
|
+0.34%
|
-1.57%
|
-0.06%
|
-3.02%
|
|
20030527
|
1.96%
|
4.28%
|
-3.08%
|
+0.18%
|
+1.27%
|
+2.11%
|
+2.60%
|
|
20030317
|
3.54%
|
2.49%
|
-2.49%
|
+0.42%
|
+1.49%
|
+0.17%
|
+3.57%
|
|
20021127
|
2.80%
|
4.93%
|
7.89%
|
-0.27%
|
-1.93%
|
-3.44%
|
-6.29%
|
|
20020304
|
1.95%
|
2.71%
|
-7.55%
|
-0.67%
|
+0.32%
|
+1.25%
|
-2.38%
|
|
20000807
|
1.12%
|
2.20%
|
-6.85%
|
0.24%
|
-1.29%
|
+0.83%
|
+1.57%
|
|
20000703
|
1.03%
|
1.48%
|
-0.81%
|
-1.59%
|
+0.64%
|
+0.77%
|
-1.16%
|
|
20000323
|
1.78%
|
3.58%
|
-0.97%
|
+0.01%
|
-1.28%
|
-2.58%
|
-6.38%
|
|
19991029
|
1.53%
|
4.03%
|
-11.82%
|
-0.65%
|
-0.59%
|
+0.54%
|
+3.29%
|
|
19990628
|
1.22%
|
4.00%
|
-5.64%
|
+1.51%
|
+3.73%
|
+4.26%
|
+2.56%
|
Observations:
1. Almost half of the days occurred during the great bull
market of 2003.
2. During most instances, both bulls and bears can get out
with gains, depending on time frame. The only exception was 20030527, when the
S&P would not revisit that day's level for another 5 years!
3. 5 more instances occurred during market tops. The S&P
level in July and August 2000 would not be revisited until July 2007.
4. Today's occurrence
bore the most resemblance to the ones in 20030527, 20020304, and 20090601:
- The market was already in bear market for
quite some time (>18 months).
- The market gain on that day were similar (~2%).
- On 20020304. S&P also broke through
its 200 day SMA.
- The VIX behaved in a similar way (up a lot
after a previous big down day).
Conclusions based historical observations (may not apply to
the future though!):
- Bulls do not need to sell immediately. Even if this is a
market top, they should have plenty of time to get out.
- Bears do not need to rush in. They should have weeks to
set up short positions.
狗仔卡
发表于 2009-6-2 09:18 PM
