A favorite Green Day song, plus some numbers from Market Tells, courtesy of Adam Warner at Daily Options Report.
Wake Me Up When September Ends
I forget where I read it, but someone (or many) wondered what if we decline on a Bailout deal? Then what?
Well, here we are.
The VIX did "predict" a Monday gap on the news. But the logical assumption was that it predicted an upside gap. But that logic looks wrong. "Rennie" from Market Tells leaves this in the comments.
"VXO settled with a solid gain Friday despite the S&P’s afternoon charge into positive territory. That’s a generally negative indication for the short-term. When the volatility index increases on a day when it ostensibly shouldn’t, it’s a short-term red flag for stocks. The table below lists each of the last thirty instances in which the VXO closed up 5% or more on a day when the S&P settled higher. Note that in 24 out of 30 cases, or 80% of the time, the S&P posted a subsequently lower close within the next two sessions…
VXO +5% or more, S&P Closes Higher
09/26/08… S&P500 ???
09/12/08… S&P500 -4.7% one session later
08/10/07… S&P500 -0.1% one session later
07/05/07… S&P500 +0.4% two sessions later
09/27/06… S&P500 -0.1% two sessions later
11/23/05… S&P500 -0.6% two sessions later
09/01/05… S&P500 -0.3% one session later
12/20/04… S&P500 +1.3% two sessions later
11/12/04… S&P500 -0.0% one session later
10/29/04… S&P500 +0.0% two sessions later
10/11/04… S&P500 -0.2% one session later
06/01/04… S&P500 -0.4% two sessions later
12/30/03… S&P500 -0.1% two sessions later
12/18/03… S&P500 -0.1% one session later
11/27/02… S&P500 -0.3% one session later
03/24/00… S&P500 -0.2% one session later
03/23/00… S&P500 -0.2% two sessions later
12/30/99… S&P500 -0.6% two sessions later
05/12/99… S&P500 -1.9% two sessions later
07/13/98… S&P500 +0.8% two sessions later
03/20/98… S&P500 -0.3% one session later
02/17/98… S&P500 +0.5% two sessions later
05/27/97… S&P500 -0.3% one session later
05/14/97… S&P500 -0.8% two sessions later
05/05/97… S&P500 -0.3% one session later
03/17/97… S&P500 -0.8% one session later
11/25/96… S&P500 -0.1% one session later
11/20/96… S&P500 -0.2% one session later
11/15/96… S&P500 -0.1% one session later
09/03/96… S&P500 -0.8% two sessions later
05/09/96… S&P500 +2.5% two sessions later"
He has more here.
