Where VIX and Market Go

silicon_beaver

Above is weekly VIX chart (daily chart looks similar)
(For its interpretation, please read banzhang's report. jamesmith and Read0nly also had discussions early days)

This weekend, I calculated its statistics using last ten years' data (since 2003)
When VIX closed below 13.45,  a low since Year 2007,
what next days (upto 10 days) SPX did. supposed VIX in red N days (red =3, 4, 5, , , )

silicon_beaver

Summary
when Red=3 (consecutive red days)
4/7/2005, worst case, market down over 50pts then bounced 20 pts on 10th day.
4/16/2007, best case, market up 15 pts with 10 days, even VIX hit 13.45 after three consecutive red days.

But, in general, market is not necessary to go red when VIX hit 13.45 or lower.
Please read 5/27/2005 (Red=10), VIX was in red 10 days and hit 13.45. But in next 10 days, SPX moved up 2.04 pts in total. Not moved down.

开小差