When Both SPY and VIX Falls on a Friday , What Next ?

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.
Total Instances 175
Average Change -0.17
Average Change % -0.01
Median Change 0.75
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.
Total Instances 175
Average Change 0.64
Average Change % 3.58
Median Change 0.36
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.

Both SPY and VIX falls on a Friday , last 25 instances

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