VIX ‘System’ Seems to Work

One of Ronald Reagan’s favorite sayings was doveryai, no proveryai which loosely translated to “Trust, but Verify”. Probably no one in the option business is more trustworthy than Larry McMillan and we trust all he says, but we wanted to verify something as well. According to our recollection Larry has consistently stated that when the VIX spikes up and is followed by two down days, this may be considered a short term buy signal for the overall stock market. At the Options Institute we took this theory and tested it a bit. 

We have VIX data going back to 1990 and S&P 500 closing prices going back that far are readily available through Yahoo finance. Using that data we ran the following test –

 

  1. The VIX closes up 5% from the previous day
  2. Within 5 days after this “spike’ the VIX is down two days in a row.
  3. Buy the S&P 500 and hold for 20 days.

 

Going all the way back to January 1, 1990 through August 31, 2011 there have been 58 instances of the VIX index moving up 5% and then being followed by a drop in the VIX two days in a row within the next 5 days. 42 of those 58 instances results in a gain in the S&P 500 over the next 20 days. This results in a gain of 511.73 points and a winning percentage of 72.4%. The S&P is about 900 points higher since 1990 so this is not that impressive of a gain on an index point basis.

Even more impressive, were the results from January 1, 2000 through August 31, 2011. There have been 37 signals since the year 2000 with 26 resulting in a gain over the next 20 days in the S&P 500 index. Through this method the S&P 500 has gained 227.50 points and there has been a winning percent of just over 70%. Keeping in mind that the S&P 500 has declined over 230 points over the same time period makes these positive results a little more impressive.

So if Ronald Reagan were alive today and trading the markets he would have trust in Larry McMillan’s analysis of the markets. However, being Reagan he would also want to verify what he is told. Upon verfication he might acknowledge that Larry is on to something here.

cast iron cleaner
premium chainmail scrubber
stainless steel chainmail scrubber
chainmail scrubber

cast iron cleaner
cast iron cleaner
premium chainmail scrubber
premium chainmail scrubber
premium chainmail scrubber
chainmail scrubber
cast iron cleaner

cast iron cleaner
cast iron cleaner
premium chainmail scrubber
premium chainmail scrubber
premium chainmail scrubber
chainmail scrubber
chainmail scrubber

cast iron cleaner
premium chainmail scrubber
stainless steel chainmail scrubber
chainmail scrubber

cast iron cleaner
cast iron cleaner
premium chainmail scrubber
premium chainmail scrubber
premium chainmail scrubber
chainmail scrubber
cast iron cleaner

cast iron cleaner
cast iron cleaner
premium chainmail scrubber
stainless steel chainmail scrubber
premium chainmail scrubber
chainmail scrubber
stainless steel chainmail scrubber

cast iron cleaner
cast iron cleaner
premium chainmail scrubber
premium chainmail scrubber
stainless steel chainmail scrubber
chainmail scrubber
stainless steel chainmail scrubber

ysl replica handbags
replica handbags
cheap replica handbags

101-101
101-350
117-201
156-215-77
1Y0-253
1Y0-351
1z0-047
1z0-051
1z0-060
1z0-591
200-101
210-060
220-801
2V0-621
300-075
300-080
300-101
300-115
300-206
642-467
642-732
642-742
642-887
642-996
646-206
646-365
646-206
70-688
70-687
700-260
74-409
810-401
98-365
4040-252
C4090-451
JK0-019
MB2-704
MB5-705

70-346
70-410
70-411
70-412
70-413
70-417
70-480
70-533
70-534
312-49v8
312-50
312-50v8
CAPM
PMI-ACP
220-801
220-802
CAS-002
JK0-022
Y0-401
C2150-400
C4040-250
C4040-251
C4040-252
C4090-971
CAP
CISSP
2V0-620
2V0-621D
VCP550
CP550D

Windows 7 プロダクトキー
Windows 8 プロダクトキー
Windows 8.1 プロダクトキー
Windows 8.1 pro プロダクトキー
Windows 7 Professional プロダクトキー
Windows 7 Ultimate プロダクトキー
Windows 7 Home Premium プロダクトキー
Windows 7 Home Premium ダウンロード版
Windows 8 Pro ダウンロード版
Windows 8.1 Pro ダウンロード版