When $VXO drops by 20% in a day

When $VXO drops by 20% in a day

VXO14Jul

h/t for reminding this @QuantEdges for this post  http://quantifiableedges.com/a-20-1-day-decline-in-vxo/ 

below the $SPY trading odds for the longs , for the next 1/2/3/4/5 /10/20 trading days , since $SPY IPO, when $VXO closes down by more than 20% in the day 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 17 2 11.8 -0.76 -0.29 0.30 -0.90 0.33 -4.42 0.00 -2.65
t+2 17 6 35.3 -1.51 -0.12 0.54 -2.63 0.20 -11.18 0.08 -1.94
t+3 17 5 29.4 -1.17 -0.16 0.45 -1.85 0.25 -7.47 0.09 -2.02
t+4 17 8 47.1 -1.36 -0.03 0.86 -3.33 0.26 -11.91 0.15 -1.58
t+5 17 5 29.4 -1.25 -0.23 1.27 -2.31 0.55 -15.04 0.12 -1.38
t+10 17 7 41.2 -1.78 -0.64 1.06 -3.77 0.28 -17.17 0.16 -1.65
t+20 17 10 58.8 -1.35 0.56 1.67 -5.67 0.29 -13.50 0.31 -1.20
1st +’ve exit in 5 days 17 11 64.7 -1.02 0.25 0.59 -3.98 0.15 -15.04 0.22 -1.13
1st -‘ve exit in 5 days 17 17 100.0 0.83 -0.29 -0.83 NA NA NA NA 3.01

17/17 times  $SPY closed at lower than the current close in the next five trading days .. with an average loss of 83 basis points at the 1st negative  close within in the next five trading days.

below the $SPY returns over the next 1/23/4/5/ trading days when $VXO closes up by more than 20% , since Y2K

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st -‘ve exit (%) in 5 days
13-Jul-15 209.76 ?? ?? ?? ?? ?? ??
08-May-15 210.60 -0.48 -0.78 -0.76 0.28 0.38 -0.48
18-Jul-14 193.90 -0.19 0.25 0.47 0.47 0.01 -0.19
02-Jan-13 139.12 -0.22 0.22 -0.06 -0.35 -0.09 -0.22
09-Aug-11 108.22 -4.42 -0.12 0.55 2.68 1.80 -4.42
10-May-10 104.41 -0.29 1.11 -0.15 -1.95 -1.91 -0.29
20-Oct-08 85.75 -2.99 -8.27 -7.21 -11.91 -15.04 -2.99
13-Oct-08 87.95 -1.48 -11.18 -7.47 -8.03 -2.50 -1.48
19-May-08 122.81 -0.81 -2.48 -2.47 -3.78 -3.06 -0.81
13-Nov-07 125.84 -0.28 -1.72 -1.55 -2.92 -2.32 -0.28
18-Sep-07 128.95 0.59 -0.12 0.15 -0.03 -0.23 -0.12
06-Mar-07 117.19 -0.10 0.74 0.77 0.92 -1.04 -0.10
29-Jun-06 105.70 0.01 0.42 -0.15 0.13 -0.52 -0.15
15-Jun-06 104.29 -0.73 -1.52 -1.18 -0.45 -0.88 -0.73
28-Oct-97 67.42 -0.27 -2.46 -0.16 1.94 1.94 -0.27
11-Mar-96 45.53 -0.79 -0.11 0.33 0.26 2.20 -0.79
27-Jun-94 30.62 -0.46 -0.16 -0.78 -0.59 -0.07 -0.46
05-Apr-94 30.41 0.00 0.49 -0.26 0.16 0.00 -0.26

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