今天SPX和VIX都涨了1%，那么历史上呢？

dividend_growth

Today's SPX and VIX both went up more than 1%. That's a rare occurrence indeed. In fact, this has happened only 14 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
20090601	2.58%	3.87%	-8.68%	?	?	?	?
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 and 20020304:

- The market was already in bear market for quite some time (>18 months).

- The market gain on that day were similar (~2%).

- The market broke out of a consolidation zone with good volumes.

- 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 for 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.

colderdown

Thanks a lot.

xiaoxiaozhang

firefly8

大侠真会找规律!

snowwolf229

good stuff

hfdcai2000

excellent point here....   

daguai

uddi

亥FAN

THANKS!

银河金星

AMY08

Persistance

Thank you for your efforts and sharing!!!

ajs

dsp

You must have engineering background. Good data analysis.

whzdf

wing111

thanks

ricky

wlee

thanks for putting this together.

小咪

1# dividend_growth Mr. incredible Thanks!

q13117

Thanks for your genius work ......