Over the last 5 days, $VIX has gained more than 25%. Is a large gain in the volatility index bullish or bearish for the S&P 500 over the next 50 days?
- Buy $SPY at close when $VIX has gained more than 25% over the last 5 days.
- Sell $SPY at the close X days later.
- No commission or slippage included.
- All available $SPY history used.
Next Day Winning Percentage: 58.93%
5 Day Winning Percentage: 69.62%
Median Trade After 50 Days: 2.74%
Average Trade After 50 Day: 2.26%
Number of Setups: 112
Number of Trades Held 50 Days: 44
While my breadth indicators are not quite signaling that a bounce is imminent, this study has yielded bullish results.
$VIX closed at 19.48 and hasn’t closed above 20 since July, 2012. Let’s see what happens over the next couple of days. Another $VIX spike and an extreme breadth reading will make for a great short-term bottom.