The S&P 500 has rallied over 10% since the February
low, push the index up to its 50-week Moving
Average. Meanwhile the Volatility Index ($VIX) has declined
approx. 47%, sending the ‘fear index’ to its lowest level so far
this year.Is this signaling a potential return of stock
market volatility?
Currently the VIX is the furthest it’s been from its 50-day
MA since the prior lower high in the S&P 500 back in October
2015.As the chart below shows, it’s now more than one
standard deviation below the mean based on the distance Volatility
historically travels away from its 50-day.
Previous instances of the VIX falling this quickly has led
to tough market conditions in the short-term for the stock
market.
Fellow See It Market contributor
Steve Deppe also shared on Twitterthat
when the VIX that since 1990 when the index’s 20-day return
is less than -30%, the average forward return for the
S&P 500 over the next 5, 10, 20,
and 40 days has been negative.“
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VIX
Posted by EdZ on 20th of Mar 2016 at 02:01 am
The S&P 500 has rallied over 10% since the February low, push the index up to its 50-week Moving Average. Meanwhile the Volatility Index ($VIX) has declined approx. 47%, sending the ‘fear index’ to its lowest level so far this year.Is this signaling a potential return of stock market volatility?
Currently the VIX is the furthest it’s been from its 50-day MA since the prior lower high in the S&P 500 back in October 2015.As the chart below shows, it’s now more than one standard deviation below the mean based on the distance Volatility historically travels away from its 50-day.
Previous instances of the VIX falling this quickly has led to tough market conditions in the short-term for the stock market.
Fellow See It Market contributor Steve Deppe also shared on Twitterthat when the VIX that since 1990 when the index’s 20-day return is less than -30%, the average forward return for the S&P 500 over the next 5, 10, 20, and 40 days has been negative.“