AI
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| Alias Born | 04/03/2009 |
Thursday, September 05, 2013 7:27:00 PM
Not sure how clear this will look. I put this chart together today. I took the daily percent change of the S&P since the beginning of the year and ran it along side the VIX values for the year. It gives you an idea of how much the daily S&P will move at various VIX levels. So, to get a 2.5% daily move (this year to the downside) VIX had to be over 17. To get a 1.5% daily move VIX was typically between 15 - 17. Also, there were not that many down percentage days when VIX was around 13.
Seems like the Rule of 16 may need some reworking. There were lots of 1% moves below that value. Still noodling the data.
Seems like the Rule of 16 may need some reworking. There were lots of 1% moves below that value. Still noodling the data.
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