When Both SPY and VIX Falls on a Friday , What Next ?
Normally it is un-usual for both Volatility S&P 500 Index (VIX) and S&P 500 Index to fall , as they tend to move in opposite directions. Heading into the weekend (on Firday’s) this becomes more unusual. We have tested the following trading pattern with below defined trading strategy rules to check if there exists a tradable-edge when both “S&P 500 Index ( SPY) and Volatility S&P 500 (VIX) index falls on on a Friday.
Here are the trading strategy rules we used
- Today is Friday &
- S&P 500 Index ( SPY) falls &
- Volatility S&P 500 Index (VIX) falls as well
below the trading odds for a 1 Day holding period for S&P 500 Index , since Jan 1990.
|Next day S&P 500 Index Trading Odds , when both SPY and VIX falls on a Friday since Jan 1990.|
|Average Change %||-0.01|
|Median Change %||0.11|
|% Times up||54.9|
|Average if Win||7.52|
|Average % if Win||0.76|
|Average if Loss||-9.51|
|Average% if Loss||-0.96|
|Average Win / Average Loss||0.79|
|Average Win % /Average Loss %||0.80|
no major trading edge right ? lets look at how VIX fares the next day.
|Next day Volatility S&P 500 Index Trading Odds , when both SPY and VIX falls on a Friday since Jan 1990.|
|Average Change %||3.58|
|Median Change %||2.20|
|% Times up||70.9%|
|Average if Win||1.17|
|Average % if Win||6.25|
|Average if Loss||-0.65|
|Average% if Loss||-2.98|
|Average Win / Average Loss||1.80|
|Average Win % /Average Loss %||2.10|
VIX on an average ( for all the instances) rises by 3.58% , and rises about 71% of times the next trading day , when ever“both SPY and VIX falls on a Friday”
below the last 25 instances table for the readers to replicate the above trading strategy.