# Few $VIX trading setups on $SPX on 16 Oct 2013

with $VIX falling by 21.17 and $SPX gaining by 1.38% few $VIX trading setups that triggered on $SPX ( S&P 500 Index) as on 16 Oct 2013 close.

**1) $VIX falls by more than 20%**

Surprisingly there aren’t many , there are only eleven times ( including the current one) when $VIX has fallen by more than 20% in a day ! today’s drop being the 9th largest drop since 1990, the largest one day $VIX drop being on 10th May 2010.

below the trading odds for Longs on $SPX and exiting at various closings ranging from 1/2/3/4/5/10/20 trading days, since 2000, whenever **“$VIX falls by more than 20% in a single session”, since Jan 1990 .**

Exit |
# |
Wins |
% Wins |
Avg% |
Med% |
Avg Win % |
Avg Loss % |
Pay Off |

t+1 |
10 |
2 |
20.0 |
-1.10 |
-0.45 |
0.48 |
-1.49 |
0.32 |

t+2 |
10 |
4 |
40.0 |
-2.00 |
-0.08 |
0.48 |
-3.66 |
0.13 |

t+3 |
10 |
4 |
40.0 |
-1.32 |
-0.24 |
0.90 |
-2.80 |
0.32 |

t+4 |
10 |
4 |
40.0 |
-1.71 |
-0.23 |
1.48 |
-3.84 |
0.39 |

t+5 |
10 |
3 |
30.0 |
-1.82 |
-0.51 |
1.12 |
-3.08 |
0.36 |

t+10 |
10 |
4 |
40.0 |
-2.09 |
-0.84 |
1.72 |
-4.62 |
0.37 |

t+20 |
10 |
6 |
60.0 |
-2.28 |
0.57 |
1.55 |
-8.02 |
0.19 |

**$SPX posted a lower close than the current close , at some point during the next five trading days , on closing basis, 9/10 times , that’s 90% chance ,** but on a tiny sample size of 10 over 23 trading years. **The average loss at the first lower close stands at -1.11%**, and the other instance where $SPX didn’t post a lower close in the next five days , $SPX gained 0.86 , after 5 trading days.

**2) $VIX falls by more than 15% **

reducing the 20% drop to 15% drop , to get more sample size

below the trading odds for Longs on $SPX and exiting at various closings ranging from 1/2/3/4/5/10/20 trading days, since 2000, whenever **“$VIX falls by more than 15% in a single session “, since Jan 1990 .**

Exit | # | Wins | % Wins | Avg% | Med% | Avg Win % | Avg Loss % | Pay Off | Max Loss % |

t+1 | 31 | 10 | 32.3 | -0.39 | -0.26 | 0.91 | -1.01 | 0.90 | -4.42 |

t+2 |
31 |
14 |
45.2 |
-0.91 |
-0.07 |
0.86 |
-2.36 |
0.36 |
-9.52 |

t+3 | 31 | 14 | 45.2 | -0.64 | -0.15 | 1.11 | -2.08 | 0.53 | -7.84 |

t+4 | 30 | 16 | 53.3 | -0.58 | 0.23 | 1.39 | -2.83 | 0.49 | -11.02 |

t+5 | 30 | 14 | 46.7 | -0.69 | -0.13 | 2.09 | -3.12 | 0.67 | -14.59 |

t+10 | 30 | 14 | 46.7 | -0.94 | -0.59 | 2.50 | -3.95 | 0.63 | -15.39 |

t+20 | 30 | 17 | 56.7 | -1.38 | 0.49 | 2.79 | -6.85 | 0.41 | -19.36 |

besides **$SPX posted a lower close than the current close , at some point during the next five trading days , on closing basis, 25/30 times , that’s 83% chance . The average loss at first lower close stands at -0.48% .**

**3) $VIX falls by more than 15% and $SPX is above 200-DMA**

below the trading odds for Longs on $SPX and exiting at various closings ranging from 1/2/3/4/5/10/20 trading days, since 2000, whenever **“$VIX falls by more than 15% in a single session, and $SPX is above 200-DMA “, since Jan 1991 .**

Exit | # | Wins | % Wins | Avg% | Med% | Avg Win % | Avg Loss % | Pay Off | Max Loss % |

t+1 | 15 | 7 | 46.7 | 0.24 | -0.04 | 0.95 | -0.39 | 2.46 | -1.43 |

t+2 | 15 | 9 | 60.0 | 0.28 | 0.31 | 0.91 | -0.67 | 1.36 | -2.09 |

t+3 | 15 | 9 | 60.0 | 0.34 | 0.39 | 1.07 | -0.76 | 1.40 | -2.32 |

t+4 | 15 | 10 | 66.7 | 0.54 | 0.63 | 1.23 | -0.83 | 1.48 | -2.07 |

t+5 | 14 | 8 | 57.1 | 0.52 | 0.57 | 1.56 | -0.86 | 1.82 | -1.97 |

t+10 | 14 | 9 | 64.3 | 0.33 | 1.06 | 2.16 | -2.97 | 0.73 | -7.42 |

t+20 | 14 | 10 | 71.4 | 1.12 | 0.99 | 2.77 | -3.00 | 0.92 | -8.43 |

**$SPX posted a higher close than the current close , at some point during the next five trading days , on closing basis, 13/14 times , that’s 93% chance . The average gain at first higher close stands at 0.8%**

**4) $VIX reversals , that is $VIX has risen by 10% during previous day and $VIX has revered all the gains during the current session **

note : this is not VIX%[0]<-10% && VIX%[1]>10%

it is ** VIX%[1]>10% && VIX[0] < VIX[2]**

below the trading odds for Longs on $SPX and exiting at various closings ranging from 1/2/3/4/5/10/20 trading days, since 2000, whenever **“$VIX reverses 10% + gains of previous trading day , during the current session “, since Jan 1990 .**

Exit | # | Wins | % Wins | Avg% | Med% | Avg Win % | Avg Loss % | Pay Off | Max Loss % |

t+1 | 14 | 8 | 57.1 | 0.18 | 0.14 | 1.09 | -1.03 | 1.06 | -2.81 |

t+2 | 14 | 9 | 64.3 | 0.18 | 0.35 | 0.97 | -1.24 | 0.78 | -2.18 |

t+3 | 14 | 9 | 64.3 | 0.54 | 0.55 | 1.26 | -0.75 | 1.68 | -1.94 |

t+4 | 14 | 9 | 64.3 | 0.39 | 0.67 | 1.37 | -1.39 | 0.99 | -2.07 |

t+5 | 14 | 9 | 64.3 | 0.70 | 0.62 | 1.88 | -1.41 | 1.33 | -1.97 |

t+10 | 14 | 9 | 64.3 | 0.53 | 0.98 | 2.16 | -2.40 | 0.90 | -7.42 |

t+20 | 14 | 10 | 71.4 | 0.81 | 2.18 | 3.53 | -6.01 | 0.59 | -9.59 |

**$SPX posted a higher close than the current close , at some point during the next five trading days , on closing basis, 14/14 times , that’s 100% chance** . The average gains at profitable exit stands at 0.91%.

risk free setup ?? we will get to know in the coming five days ..

*conclusion : probably a dip followed by a higher close *

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