VIX Streaks

Posted in Volatility Effects


Does the S&P 500 implied volatility index (VIX) behave predictably after up or down streaks? To check, we look at next-day percentage changes in VIX after up and down streaks ranging from two to seven trading sessions. To test exploitability, we repeat the analysis on the much shorter sample available for the iPath S&P 500 VIX ST Futures ETN (VXX). Using daily closes of VIX from the beginning of January 1990 and VXX from the end of January 2009, both through mid-November 2012, we find that: (more…)

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