Study: what happens next to the S&P 500 when VIX does a roundtrip
VIX was under 12 before January 30, 2018. Then it spiked above 25 on February 6, 2018. And now it is back below 12 as of Thursday June 7, 2018. In other words, VIX has done a roundtrip.
Here are the historical cases in which VIX spiked above 25, then crashed below 25, and what happened next to the S&P 500. The data size is small (5).
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This study supports our other recent studies (here and here). Short term weakness (i.e. next 1-2 weeks) is normal and to be expected. But the medium-long term returns are bullish (see 6 months – 1 year forward returns).
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