Odd Stat Of The Day - 3/4/19

Today, Monday March 4, 2019, $VIX did something incredibly Odd.

For only the 9th time in the history of the index (my data goes back to 1990), the daily high was at least +3.50 raw points above the daily low, with $VIX still managing to close under 15.00.

"But why would I care about that?" you might be asking no one in particular right now.

The point is that $VIX either crashed quite a bit into a close under 15.00 OR it means that $SPX (the S&P 500 Index) saw a big drop intra-day before magically ramping into the close.  Can you imagine that?  Me either.

Here were the S&P 500 ($SPX) forward returns and draw downs after all 8 previous events like today.

20190304 SPX When VIX Closes Under 15 But Daily High 3.5 Above Daily Low.png

THINGS I NOTICED:

  1. 7 of the 9 events that qualify have happened since September 2016.  And here you didn't think I was paying attention.

  2. $SPX was green the next day (in this current case, what will be Tuesday March 5, 2019) 75% of the time and the two red days were just barely red.

  3. Before the most recent event, the worst 5-day draw down on $SPX was no worse than -0.7%.  That changed drastically with the Oct 5 2018 event.

  4. This is the first time in history (again, since 1990) that such an event has ever happened during a 1st Quarter.