$VIX trading setups on $SPX – 16 OCT 2013

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

$VIX Stock Chart

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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$VIX crosses below both 50 DMA and 200 DMA , what next for $SPY

When $VIX crosses below both 50 DMA and 200 DMA

here are the trading strategy rules

  • $VIX closes below 50 day moving average during the current trading session , while $VIX is above it’s 50 day moving average during the previous trading session
  • $VIX closes below 200 day moving average during the current trading session , while $VIX is above it’s 200 day moving average during the previous trading session
  • go long on $SPY at close
  • exit at next trading day at close

below the backtest performance summary of  “go long on $SPY trading strategy , when $VIX crosses below both 50 DMA and 200 DMA ,  since 2000

go long on $SPY trading strategy , when $VIX crosses below both 50 DMA and 200 DMA , backtest performance summary , since 2000

below the historical trade details generated by the “go long on $SPY trading strategy , when $VIX crosses below both 50 DMA and 200 DMA“, since 2000

Date $VIX Cls / 50DMA Cls / 200DMA Cls/50DMA (t-1) Cls/200DMA (t-1) $SPY next day change $SPY next day change %
05-Jul-13 14.89 0.98 0.99 1.07 1.08 ?? ??
02-Jan-13 14.68 0.86 0.84 1.06 1.03 -0.33 -0.23
21-Jul-11 17.56 0.96 0.95 1.05 1.04 0.09 0.07
29-Jun-11 17.27 0.98 0.92 1.09 1.02 1.20 0.96
01-Oct-10 22.5 0.95 0.96 1 1.01 -0.81 -0.75
05-Aug-08 21.14 0.93 0.9 1.03 1.01 0.51 0.44
29-Jul-08 22.03 0.98 0.95 1.09 1.04 2.01 1.77
21-Mar-07 12.19 0.98 0.95 1.07 1.03 -0.09 -0.07
29-Jun-06 13.03 0.86 1 1.04 1.21 0.01 0.01
18-Apr-06 11.4 0.95 0.92 1.05 1.02 0.22 0.20
10-Mar-06 11.85 0.97 0.96 1.04 1.02 0.21 0.19
09-Sep-05 11.98 0.99 0.94 1.06 1.01 -0.21 -0.20
18-May-05 13.63 0.96 0.98 1.03 1.05 0.42 0.42
09-May-05 13.75 1 0.99 1.02 1.01 -1.03 -1.03
03-Nov-04 14.04 0.96 0.88 1.1 1.01 1.31 1.36
15-Oct-04 15.04 0.99 0.94 1.08 1.02 0.35 0.38
25-May-04 15.96 0.93 0.92 1.04 1.04 0.33 0.36
20-Mar-03 30.44 0.99 0.97 1.03 1 1.53 2.14
31-Dec-02 28.62 0.99 1 1.02 1.03 2.31 3.22
20-Dec-02 26.71 0.9 0.94 1.01 1.06 0.02 0.03
15-Mar-00 22.34 0.97 0.97 1.05 1.06 5.10 4.67
09-Mar-00 22.21 0.96 0.96 1.03 1.03 -0.59 -0.54
01-Mar-00 21.64 0.93 0.93 1 1 0.07 0.06
07-Jan-00 21.72 0.98 0.93 1.15 1.1 0.39 0.34

here the trading odds for $VIX index for the longs , when $VIX crosses below both 50 day moving average and 200 day moving average

  • Winners : 5
  • Losers : 18
  • % Winners : 22%
  • Average Change % : -1.72
  • Median Change % : -2.19
  • Maximum Gain % : 8.44
  • Maximum Loss % : -11.29
  • Average Gain %if Winner : 3.91
  • Average Loss % if Loser : -3.28
  • Average Gain % / Average Loss % : 1.19
  • Average Absolute Change% : 3.06

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When VIX rises by more than 10% on Tuesdays

When VIX rises by more than 10% on Tuesdays

with $VIX (Volatility S&P 500) rising 10.56% at the close as on 11 Jun 2013, here is how $SPY fared over the next day

here are the trading system rules we employed

  • $VIX rises by more than 10%
  • go long at close &
  • exit on the next trading day at close

below the backtest performance summary of  “go long on $SPY when $VIX rises by more than 10% in a day trading system” since 2000.

$VIX rises by more than 10% , Go Long on $SPY Trading System, backtest since 2000

Now applying the day of the week tweak , let us restrict to only Tuesdays

here are the trading system rules we employed

  • $VIX rises by more than 10% &
  • Today is Tuesday
  • go long at close &
  • exit on the next trading day at close

below the backtest performance summary of  “go long on $SPY on Tuesdays , when $VIX rises by more than 10% in a day trading system” since 2000.

$VIX rises by more than 10% , & today is Tuesday , go long on $SPY trading system, backtest since 2000

Yes ! that VIX rises by more than 10% in a day performs better on Tuesdays than any other week day.

Below the historical instances  (for your reference) of VIX rising more than 10% on Tuesdays and the next day change change% details of $SPY ,since Jan 2000.

Date VIX Change% $SPY Loss % $SPY Next day Change $SPY Next Day Change%
11-Jun-13 10.56 -1.03 ?? ??
23-Oct-12 13.30 -1.39 -0.39 -0.28
06-Mar-12 15.46 -1.46 0.92 0.70
01-Nov-11 16.05 -2.78 1.92 1.63
25-Oct-11 10.12 -1.94 1.21 1.02
15-Mar-11 15.10 -1.14 -2.27 -1.85
01-Mar-11 14.50 -1.67 0.27 0.22
22-Feb-11 26.60 -2.01 -0.77 -0.61
23-Nov-10 12.30 -1.45 1.66 1.48
16-Nov-10 11.78 -1.55 0.06 0.05
07-Sep-10 11.68 -1.13 0.73 0.71
29-Jun-10 17.69 -3.08 -0.94 -0.96
01-Jun-10 10.82 -1.68 2.63 2.60
04-May-10 18.08 -2.35 -0.65 -0.59
27-Apr-10 30.57 -2.36 0.84 0.75
01-Sep-09 12.07 -2.21 -0.35 -0.38
17-Feb-09 13.35 -4.28 -0.17 -0.23
20-Jan-09 22.86 -5.27 3.18 4.32
09-Sep-08 12.50 -2.97 0.46 0.41
22-Jan-08 14.09 -1.02 2.81 2.41
11-Dec-07 13.74 -2.74 1.29 0.98
28-Aug-07 15.76 -2.20 2.50 1.97
31-Jul-07 12.70 -1.13 0.63 0.49
24-Jul-07 10.35 -1.73 0.28 0.21
10-Jul-07 15.90 -1.42 0.94 0.70
26-Jun-07 13.45 -1.03 1.87 1.43
12-Jun-07 13.32 -1.09 1.97 1.50
13-Mar-07 29.59 -1.94 0.90 0.74
27-Feb-07 64.22 -3.90 1.25 1.02
13-Jun-06 13.60 -1.17 0.83 0.78
30-May-06 30.86 -1.78 1.22 1.12
27-Dec-05 12.66 -1.02 0.24 0.22
16-Aug-05 10.28 -1.31 0.00 0.00
22-Feb-05 17.53 -1.48 0.71 0.71
13-Apr-04 12.96 -1.40 0.15 0.16
03-Sep-02 22.46 -3.81 1.02 1.43
29-Jan-02 15.18 -3.15 1.28 1.44
03-Apr-01 11.25 -3.34 0.37 0.42
20-Feb-01 11.62 -1.54 -2.20 -2.16
02-Jan-01 11.69 -1.81 4.91 4.80
05-Sep-00 13.06 -0.81 -1.35 -1.13
02-May-00 10.12 -1.99 -2.66 -2.34
04-Apr-00 12.86 -0.74 -0.74 -0.63
07-Mar-00 13.07 -1.93 -0.13 -0.12
04-Jan-00 11.57 -3.91 0.20 0.18
avg 0.61 0.58
    median 0.67 0.60
    %up 70% 70%
    max 4.91 4.80
    min -2.66 -2.34

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$SPY $SPX $VIX Returns on Option Expiry Days Month Wise

$SPY $SPX $VIX Returns on Option Expiry Days Month Wise

A look at historical returns for the Option Expiry Days , month wise

$SPY Option Expiration Seasonalities

for $SPY since 1993 , May Option Expiry days are

  • profitable 45% (9/20) of the times
  • average returns are -0.17% (against any month options expiry returns which are -0.08%)
  • average win% if $SPY goes up on May option expiry day , stands at 0.54%  vs avg loss % if $SPY goes down on May option Expiry day which is -0.74%

Below the table with the details of % wins, Avg % , Avg Win% , Avg Loss% and Pay Off Ratio for each Option Expiry Day of the month for SPDR S&P 500 ETF ($SPY) since Feb 1993

$SPY Returns on Option Expiry Days Since 1993

$SPX Option Expiration Seasonalities 

for $SPX since 1983  ( when the CBOE $SPX options were available for trading, source: http://www.cboe.com/micro/spx/introduction.aspx ) , May option expiry days are

  • profitable 47% ( 14/30) of the times
  • average returns are -0.22% (against any month options expiry returns which are -0.02%)
  • average win% if $SPX goes up on May option expiry day , stands at 0.51%

Below the table with the details of % wins, Avg % , Avg Win% , Avg Loss% and Pay Off Ratio for each Option Expiry Day of the month for S&P 500 Index  ($SPX) since 1983

$SPX Returns on Option Expiry Days Since 1983

$VIX Option Expiration Seasonalities 

for $VIX since 1990 ( When the historical VIX data is available  ) , May Option expiry days are

  • profitable 43% ( 10/23) of the times
  • average returns are 0.41% (against any month options expiry returns which are -0.49%)
  • average win% if $VIX goes up on May option expiry day , stands at 5.42%

Below the table with the details of % wins, Avg % , Avg Win% , Avg Loss% and Pay Off Ratio for each Option Expiry Day of the month for S&P 500 Index  ($SPX) since 1983

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$VIX Option Expiry Seasonality Since 1990

$VIX returns in Option Expiry Week Month wise since 1990

A look at historical returns for $VIX ( S&P 500 Volatility Index) during the Option Expiry Week  by month wise since 1990,.
Below the trading odds of $VIX Longs during the May Month month Option Expiry week
  • Winners : 9
  • Losers : 14
  • % Winners : 39%
  • Average Change % : -1.09
  • Median Change % : -2.34
  • Average Gain %if Winner : 10.83
  • Average Loss % if Loser : -8.75
  • Average Gain % / Average Loss % : 1.24

Below the table with the details of  $VIX, % wins, Avg % , Avg Win% , Avg Loss% and Pay Off Ratio for option expiry week against each month  since 1990

$VIX Returns on Option Expiry Weeks Since 1990

below the details of $VIX Change , Change% details during may Option Expiry Week since 1990
$VIX in May Option Expiry Week since 1990
Week Change% Week Change%
13-May-13 ?? 14-May-01 -9.81
14-May-12 26.19 15-May-00 -2.34
16-May-11 2.11 17-May-99 -9.16
17-May-10 28.36 11-May-98 -0.63
11-May-09 3.34 12-May-97 7.26
12-May-08 -15.15 13-May-96 -3.07
14-May-07 -1.47 15-May-95 8.19
15-May-06 21.07 16-May-94 -10.25
16-May-05 -19.49 17-May-93 0.83
17-May-04 0.11 11-May-92 -5.30
12-May-03 -6.55 13-May-91 -5.13
13-May-02 -21.02 14-May-90 -13.18
avg -1.09
median -2.34
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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

Trade Idea : UVXY forms a Filled Full Gap Up

Trade Idea : UVXY forms a Filled Full Gap Up

UVXY forms a fulled full gap up chart

ProShares Ultra VIX Short-Term Fut ETF (UVXY)  Stock Fills the Full Gap Up opening trading strategy description.

  • UVXY Stock opens with a full gap up ( i.e current trading session open is greater than previous trading session high)
  • Stock price fills the Full Gap during the current trading session
  • Go Short at close
  • Buy to Cover at close next trading day

Full gap up has been “filled,” means todays open price > prev high & Today’s low < Prev High

Below the backtest performance summary for shorting the “UVXY  Stock Fills the Full Gap Up opening  ” trading strategy during the last four years.

Short UVXY  Stock when the Full Gap Up opening is filled Backtest Performance Summary
Total number of trades 35 Percent profitable 69%
Number of winning trades 24 Number of losing trades 11
Average profit per trade % 2.14 Median trade -2.88
Average winning trade % 6.93% Average losing trade % 8.32%
Largest winning trade % 23.11% Largest losing trade % 23.41%
Max consecutive winners 8 Max consecutive losers 4
Ratio avg win/avg loss % 0.83
Profit Factor 7.13 Outlier Adjusted Profit Factor 5.2

Below the details of next day change , change % of UVXY stock price , when UVXY  Stock Fills the Full Gap Up opening , during  last 4 years.

UVXY  Stock price next day change , change % , when UVXY Stock Fills the full gap up opening during last four years
Date Next Day Change Next Day Change %
26-Apr-13 ?? ??
12-Apr-13 1.47 23.41
05-Apr-13 -0.41 -5.42
27-Mar-13 -0.05 -0.65
18-Mar-13 0 0
01-Mar-13 -1.2 -10.66
31-Jan-13 -1.21 -10.21
29-Jan-13 1.34 12.82
31-Dec-12 -4.83 -23.11
04-Dec-12 -0.66 -3.13
28-Nov-12 -0.56 -2.88
09-Nov-12 -4.1 -12.93
08-Oct-12 2.36 8.29
20-Sep-12 -0.49 -1.65
17-Sep-12 -1.66 -5.16
28-Aug-12 0.5 0.92
22-Aug-12 2.3 4.28
02-Aug-12 -9.2 -13.26
31-Jul-12 -2.9 -3.84
06-Jul-12 -2 -2.33
28-Jun-12 -15.2 -13.38
01-Jun-12 -18.7 -7.97
31-May-12 34.5 17.23
15-May-12 12.3 6.76
11-May-12 17.3 11.67
07-May-12 2.7 1.92
10-Apr-12 -10.2 -4.76
04-Apr-12 6.6 4.2
27-Feb-12 -7.8 -2.23
16-Feb-12 -4.8 -1.2
11-Jan-12 -14.4 -2.6
04-Jan-12 -28.81 -4.59
08-Dec-11 -157.23 -13.86
25-Nov-11 -139.23 -9.53
21-Nov-11 -57.01 -4.18
17-Nov-11 -97.82 -6.85

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20 largest VIX spikes and next day VIX and S&P 500 Index returns

20 largest VIX spikes

with Volatility S&P 500 index ( VIX ) spiking by 43.2% at close as on 15 Apr 2013 , which is the fifth largest one day jump, we looked how VIX  index and the S&P 500 index fares the next day during the previous 20 largest one day jumps.

Below the table with 20 previous largest one day VIX spikes and the next day returns. As can be seen in the table below, VIX has fallen 75% (15/20) of the times next day , with the average fall standing at -6.06% , while the median fall stands at -8.86%. Also worth noting in those 20 largest falls , twice the volatility index followed with another 20% spike on 6th May 2010, and on 3rd Aug 1990.

20 Largest VIX spikes and subsequent VIX returns

20 Largest VIX Jumps since 1990

20 Largest VIX spikes and subsequent S&P 500 Index returns

Below the table with the next day S&P 500 Index returns. As can be seen in the table below, S&P 500 Index has risen 70% ( 14/20) of the times the next day, with the average gain standing at 9.2 points or 0.8%. The median next day change is 5.31 points or 0.63%. Do note that in those 20 largest VIX falls , twice S&P 500 index followed with another 1.5% ++ losses as on 6th May 2010, and on 3rd Aug 1990.

20 Largest VIX Jumps since 1990 and S&P 500 returns next day

h/t @ Ryan Detric and from the post here at stock twits : Today was the largest $VIX move ever (+43%) on an $SPY drop b/t -2.5% and -2.0%. Whoa; http://stks.co/jRYe

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