NEWSFLASH: You don't buy stocks when the VIX is under 13. It's a good rule to go buy honestly. Always seems to be better prices in the future.
Last week's VIX low tick was the lowest in a decade. It's rare to see the 9-handle (albeit it didn't stay there very long was more like a bad print)...only happened 17 times since 1990.
The fact that the indices are at these levels still...have me befuddled really. Surprised to still see them up here. Still short NDX and holding for now.
Pulled this from jjfrost over on Stocktwits: $VIX HOD<11. Occurred 44x’s since '90. 41/44 closed >5% & avg 20% rise within next 5 days
VIX Dragged Down, But What Happens Next? Tue, Jun 18, 2019 With the US equity market enjoying a period of very low volatility, the VIX index is being dragged down by the S&P 500's low realized volatility. In the chart below, we compare the level of the VIX to the level of 10-day realized volatility for the S&P 500. As shown, realized volatility is grinding towards recent lows. In those situations, implied volatility (which the VIX measures) can't stay elevated for long. Declining implied volatility is a direct response to elevated realized volatility. The recent volatility decline has come after a 6-day run without a 50 bps move (through yesterday) for the S&P 500. That was preceded by 4 straight gains of at least 50 bps for the S&P. In the history of the index, that combination has only happened once before: the 10 sessions ended April 14th of 1966. As shown in the chart below, the result wasn't great for equity investors, with stocks plunging more than 20% over the subsequent six months. These sorts of analogues are, of course, fodder for much anxiety and bearish crowing, but it's important not to read too much into a sample size of just one.
Why Is The VIX So High? Mon, Mar 30, 2020 With the equity market surging last week, seeing VIX close little-changed versus the prior Friday may have been confusing for some investors. But keep in mind that VIX is a measure of volatility, not just an inverse market index. In other words, it's not just crashing down that sends the VIX higher but also crashing up. Generally, the realized volatility of the market and its level are inversely correlated in the short-term, so that big declines drive the VIX higher while grinding rallies send it plunging. But last week the S&P 500 moved at least 2.9% on four of five days...even though it gained over 10% on the week. That still-high realized volatility is why options markets that the VIX measures are still pricing high implied volatility. To illustrate this relationship, the chart below shows the average absolute percent change move (so big up and down days are counted the same) on a rolling two-week basis versus the VIX. Through Friday, the level of realized volatility (absolute changes in the market) and implied volatility (the VIX) were pretty consistent.
