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The Volatility Of Volatility at Trader’s Narrative

The Volatility Of Volatility

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The CBOE Volatility index measures the implied volatility of S&P 500 Index (SPX) options. But something interesting has happened in the past few days, the volatility of the VIX itself is off the charts.

On Friday (Jan 16th 2009) it fell almost 10%, then on Tuesday it jumped almost 23% and today it fell again 18%:

volatility index VIX Jan 2009

According to Jason Goepfert of, since the market top last October, every time that the CBOE volatility index (VIX) has gone up by 20% or more, the S&P 500 futures has tended to go up the next trading day:


  • 10/19/07: +0.5%
  • 11/01/07: +0.1%
  • 11/07/07: -0.5%
  • 06/06/08: +0.3%
  • 09/15/08: +1.6%
  • 09/29/08: +4.5%
  • 10/15/08: +4.2%
  • 10/22/08: +1.4%
  • 12/01/08: +4.1%
  • 01/21/09: +4.4%

The only exception was November 7th, 2008. The average gain was 2.05%.

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