Monday, March 16, 2009
Solace For This Week's Bears
Last week was an unusual case where both the VIX and the S&P 500 both were net gainers by Friday.
A poster on xTrends linked to the above research which analyzed the market's performance following such *divergent* weeks in recent history.
[*Divergent* because the market and the implied option volatility usually move inversely.]
Click the graphic for a sharper image. And note that 4 days after such an occurence, the S&P 500 was down 17 out of 18 instances - and often quite substantially.