When it ticks up 35, it may be a time to buy

From Vix and More:

Over the course of the 20 year history of the VIX, the volatility index has posted close-to-close four day gains of 35% on 42 occasions. If you strip out the consecutive instances of +35% days, this leaves 27 instances in which the VIX crossed above +35% in four days. I have reproduced the full table of these 27 instances below for several reasons. First, the key takeaway is that from a timing perspective, a long SPX position entered after a 35% spike will generally perform best over the course of a five day time horizon. In the graphic below, the 27 instances average a five day gain of 1.99% vs. a typical five day SPX return of 0.14%, for a 1.85% net differential. While the net differential peaks at five days, it is apparent in just one day and persists for at least fifty trading days.

There are two things worth noting with the current VIX. One is that it has spiked so much within a few days, 35% as the post said in a matter of 4 days.  And two, that the rise may be seen as a contrarian bullish mean reversion buying opportunity.

The corresponding chart mentioned above is here:


If you bought when it strike 35% higher, you probably did good. Then, it is for the short-term.

Source: Vix and More

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