• 658 days Will The ECB Continue To Hike Rates?
  • 658 days Forbes: Aramco Remains Largest Company In The Middle East
  • 660 days Caltech Scientists Succesfully Beam Back Solar Power From Space
  • 1,060 days Could Crypto Overtake Traditional Investment?
  • 1,065 days Americans Still Quitting Jobs At Record Pace
  • 1,067 days FinTech Startups Tapping VC Money for ‘Immigrant Banking’
  • 1,070 days Is The Dollar Too Strong?
  • 1,070 days Big Tech Disappoints Investors on Earnings Calls
  • 1,071 days Fear And Celebration On Twitter as Musk Takes The Reins
  • 1,073 days China Is Quietly Trying To Distance Itself From Russia
  • 1,073 days Tech and Internet Giants’ Earnings In Focus After Netflix’s Stinker
  • 1,077 days Crypto Investors Won Big In 2021
  • 1,077 days The ‘Metaverse’ Economy Could be Worth $13 Trillion By 2030
  • 1,078 days Food Prices Are Skyrocketing As Putin’s War Persists
  • 1,080 days Pentagon Resignations Illustrate Our ‘Commercial’ Defense Dilemma
  • 1,081 days US Banks Shrug off Nearly $15 Billion In Russian Write-Offs
  • 1,084 days Cannabis Stocks in Holding Pattern Despite Positive Momentum
  • 1,085 days Is Musk A Bastion Of Free Speech Or Will His Absolutist Stance Backfire?
  • 1,085 days Two ETFs That Could Hedge Against Extreme Market Volatility
  • 1,087 days Are NFTs About To Take Over Gaming?
How Millennials Are Reshaping Real Estate

How Millennials Are Reshaping Real Estate

The real estate market is…

What's Behind The Global EV Sales Slowdown?

What's Behind The Global EV Sales Slowdown?

An economic slowdown in many…

Frank Hogelucht

Frank Hogelucht

Individual investor, trading for a living since 2007, taking a statistical approach in combination with historical market data and addicted to developing market-neutral algorithmic trading…

Contact Author

  1. Home
  2. Markets
  3. Other

Implied Volatility at 5 Month Low

Just a short update after today's close (a more detailed report might follow on Sunday) ...

I just noticed that the S&P 100 Volatility Index (VXO, sometimes called the ´fear index´) closed at a 5 month low (the lowest level since July 26, 2011) on Thursday, January 5 (and posted another 5 month low today) which regularly had (significantly) negative implications when triggered in January in the past.

Table I below shows the SPY's (S&P 500 SPDR) performance over the next five sessions and until the end of January in the event the S&P 100 Volatility Index (VXO) closed at a 5 month low in January in the past (subsequent signals are accounted for; the signal had been triggered in 8 years before 2012).

The SPY closed at a lower level one to five sessions later and at the end of January on at least 2 out of every 3 occurrences, but especially notably is the fact that the SPY did never close 1.0%+ above the trigger day's close one to five sessions later, and has never been up 1.0%+ at the end of the month as well.

It seems that when there is too much complacency in the stock market (at record levels) right at the start of a new year, upside potential for the remainder of the month has not only been limited, but more or less non-existent.

VXO at 5 month low in January
Table I - VXO at 5 month low in January


Conclusion(s)

This signal contrasts with the bullish setup being triggered on Thursday's close (see Consecutive Up Days before Jobless Report). And if in doubt, I regularly prefer to stay out until the market gives clear guidance ...

Have a profitable week,

 

Back to homepage

Leave a comment

Leave a comment