August and The VIX

I’m sure most market participants (traders, analysts, pundits) remember the wild market action in August of 2011. Well August is upon us again and going through some seasonal work on the VIX I found an interesting statistic. We have solid VIX data going back to 1990 so there are 22 Augusts to analyze. It turns out 16 of those 22 Augusts since 1990 have witnessed a rise in the VIX over the first seven trading days. That is over 70% (72.2% to be specific) of the time if we take the closing price of the VIX on the last day of July the VIX has been higher on the close of the seventh trading day of the month. 

Why might non-VIX traders care about this? Well – when the VIX goes up that usually coincides with the market as represented by the S&P 500 moving down. We’ll see if history repeats or not on the close August 9th.

August VIX.jpg