Assuming we
close poorly, this would be the first time since November '08 that the
VIX index jumped 10% or more two days in a row.
The table below
shows all instances since 1990 using the S&P 500 futures, along with the
performance over the next 1 and 5 days. 14 out of 16 times, the
S&P was higher, though returns were quite volatile in a few cases.
|
Date |
1 Day
Later |
Max
Loss |
Max
Gain |
5 Days
Later |
Max
Loss |
Max
Gain |
|
08/06/90 |
0.8% |
-0.3% |
2.0% |
1.6% |
-0.3% |
2.4% |
|
11/04/93 |
0.3% |
-0.9% |
0.3% |
1.0% |
-0.9% |
1.6% |
|
03/30/94 |
0.6% |
-2.6% |
0.6% |
1.0% |
-2.6% |
1.3% |
|
03/31/94 |
0.4% |
-2.7% |
0.5% |
0.8% |
-2.7% |
1.2% |
|
04/04/94 |
2.1% |
-0.2% |
2.2% |
2.6% |
-0.2% |
2.9% |
|
10/13/99 |
0.0% |
-1.1% |
0.8% |
0.2% |
-3.7% |
0.8% |
|
03/07/00 |
1.1% |
-0.2% |
1.8% |
0.8% |
-0.2% |
4.8% |
|
05/03/00 |
0.1% |
-0.7% |
0.4% |
-2.4% |
-2.8% |
1.7% |
|
08/02/02 |
-3.6% |
-3.9% |
0.0% |
5.0% |
-3.9% |
5.7% |
|
01/27/03 |
0.9% |
0.0% |
1.5% |
1.3% |
-1.2% |
2.4% |
|
03/11/04 |
1.3% |
0.0% |
1.4% |
1.7% |
-0.3% |
1.9% |
|
06/13/06 |
0.7% |
-0.3% |
0.8% |
2.5% |
-0.3% |
3.7% |
|
07/13/06 |
-0.4% |
-1.0% |
0.2% |
0.5% |
-1.3% |
1.7% |
|
07/27/07 |
1.6% |
0.0% |
1.8% |
-1.0% |
-1.4% |
2.5% |
|
08/28/07 |
1.9% |
0.0% |
2.0% |
2.7% |
0.0% |
4.2% |
|
11/06/08 |
3.5% |
0.0% |
3.7% |
0.4% |
-9.6% |
5.3% |
|
Average |
0.7% |
-0.9% |
1.2% |
1.2% |
-2.0% |
2.7% |
With that, and the S&P closing its gap from last December around 1101,
we're going to remove 25% of our bearish bias, so the short-term bias
will go to 25% Bearish.
Jason
Goepfert
Founder,
Sundial Capital Research, Inc.
January
22, 2010 2:45pm EST
