Here’s Rob Hanna’s analysis of trading profits and losses, 1 to 10 days out, in the situation in which VIX is hitting new highs, but the SPX is not hitting new lows. Courtesy of Rob Hanna at Quantifiable Edges.
VIX New Highs Without SPX New Lows
(Friday, October 17)
The VIX put in a huge spike yesterday to another new high. The SPX manage to hold above its recent low before rebounding. Below I looked at long-term VIX spikes that were not accompanied by long term SPX lows and performance moving forward:
In the past there this particular setup has provided traders an upside edge.
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