Playing the Short Side on SPX
I came across an interesting article here giving some more history into low VIX levels. Overall, a quick summary of the results are just:
- Since the U.S. Election of 2016, the S&P 500 has surged higher, while implied volatility (the VIX) has plummeted. While super low volatility periods seem unsustainable, they have the tendency to last for prolonged periods of time.
- After sustained periods of low implied volatility, the VIX movements higher are typically not explosive (based on historical low-VIX streaks).
I’m just taking some of the summary tables from the article and displaying them here, the credit goes back to the owner(s) of ProjectOption.
| Post-Streak VIX Changes | One Week After | Two Weeks After | One Month After |
|---|---|---|---|
| Minimum | 11.7 | 12.58 | 13.24 |
| Median | 11.7 | 12.52 | 14.22 |
| Maximum | 11.48 | 12.87 | 14.22 |
| Post-Streak VIX Changes | One Week After | Two Weeks After | One Month After |
|---|---|---|---|
| Minimum | 14.54 | 15.58 | 16.85 |
| Median | 13.24 | 14.89 | 16.85 |
| Maximum | 12.67 | 14.43 | 17 |
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