Can the VIX and SPX go 3 for 3? By Russell Rhoads
Last weekend on CNBC’s Options Action it was mentioned that the S&P 500 and VIX had both closed higher two Friday’s in a row. This was the first occurrence since 2006 of both moving up on a Friday. I took this statistic and looked at what the S&P 500 performance was over a variety of periods after this rare market phenomenon. My findings were that back in 2006 when his happened the market was lower over the near term, but higher over a longer time period. For a recap of what the outcome of that quick study click on the link below –
So today could be the third Friday in a row where the S&P 500 and VIX move higher in tandem. I decided to fire up Microsoft Excel on the train this morning and see when this had occurred and what the market did afterward. Using free historical VIX data going back to January 1, 1990 (and available for free from the CBOE) I was quickly disappointed to find out…this has never occurred. So a move higher in both the S&P 500 and VIX today would be a first.
So check in at 3:00 central to see if the S&P 500 and VIX can go 3 for 3.