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Corroborating Findings that the S&P 500 Index Predicts VIX Futures

July 9, 2024 • Posted in Volatility Effects

“Use Short-term S&P 500 Index Indicators to Predict VIX Futures?” describes research finding a potentially exploitable relationship between S&P 500 Index short-term overbought/oversold conditions and short-term VIX futures gross returns. Do findings transfer to short-term VIX futures exchange-traded funds (ETF). To investigate, we look at predictive relationships between daily SPDR S&P 500 ETF Trust (SPY) returns and daily returns for:

Using daily dividend-adjusted values of SPY since January 2011, and daily split-adjusted values of VIXY since January 2011 and SVXY since October 2011, all through most of June 2024, we find that: (more…)

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