That is bollocks. Vix is not a leading indicator for spx moves. Check the academic literature. This relationship has been tested to exhaustion and refuted. If this held remotely true then hedge funds would not take the risk to pay their staff hilarious amounts of money to source insider information.
When ? It is an art, NOT science ! You can't use indicators, mathematical things to determine when ES will move tremendously.
Just look at your historical charts going all the way back several back many presidents...a few past former President Clinton. If you can't go back that far, just view your chart history / data back to the dot com days to look for those 50 - 60 points day. If you still can't go back that far...review the historical intraday charts of the 2008 - 2010 global financial fiasco. If you can't go back that far...you will not know the commonalities. You'll easily see the commonalities and then just sit back and wait for similar like trading conditions to appear again. You will then know when those similar like market conditions appear again... Just don't trade...go on a vacation and then return back to the markets when those market conditions fade away in the wind. Another way to say it, if you do not have the historical data...it is impossible to know 90% of occurrence of those moves. By the way, FXtrader8911 and GRULSTMRNN are both wrong and correct. Yes, please look for any academic literature but not from the view point of the VIX as a leading indicator or find some of those old articles that have chart overlays and data overlays. You put yourself in a corner when you used the phrase 90% of when not to trade around. Best statistics I've ever seen was many years ago around 72% that was discussed on Bloomberg with charts & statistics. Further, I have not seen any other website get near the stats work on something like that as Bloomberg did...the few that came close involved their work with the VIX and it was not being used as a leading indicator. Regardless, it seems like you hate volatility and its the foundation of those 50 - 60 point moves in a very short time span. Therefore, if you can't do the stats work and you do not have access to historical data...just stay away from the markets when the VIX is high. I posted some VIX charts and stats data a long time ago here at ET about this issue...won't do it again after a few knuckleheads showed up to debate with the historical facts with stats. Info that I had pulled from Bloomberg. Keys: High Volatility, U.S. President, FED Rate Move, Sudden Economic Shift that caught many off guard (Panic), GeoPolitical Unrest...time to go on a vacation to calmer locations. Yet, if you love volatility...stick around and try to trade that stuff in the hopes of catching one of those big huge moves...good luck with that because there are a lot of big swing days amongst there too. Scary like swings all in the same trading day within some of them.Its like being involved in a bar room fight...hit anything that gets near you. If you're not involved in the market, you'll still hear about it because it will be big headlines the next day on the front page of the newspaper. wrbtrader
Care to point to a single study that demonstrates that VIX functions as a leading indicator for volatility in SPX? VIX which is synonymous to the implied vol of SPX options does not consistently forecast future realized volatility of the underlying. It is a poor predictor at best. In that my claim is/was not wrong.
I was very specific in my prior message post that the VIX is NOT a leading indicator via the statement... Yes, please look for any academic literature but not from the view point of the VIX as a leading indicator I should have underlined the word not above. Therefore, your claim that the VIX is not a leading indicator...I strongly agree. Yet, the VIX in combo with other variables that were mentioned are used not as a leading indicator but used instead to warn those that hate volatility to stay away from the markets unless they enjoy getting involved in a good bar room fight. Regardless, there's a wealth of info by the VIX that has nothing to do with it as a leading indicator and there's a wealth of info by other volatility info (not related to the VIX) used by market participants. Regardless, those that specifically use the VIX tend to use it for option pricing, hedging decisions and to get a general picture of the stock market. Note: The VIX as a leading indicator to what ? That phrase "leading indicator" needs to be clarified don't you think ? By the way, there are studies by those that do use the VIX as a "leading indicator" but I do not agree with the studies nor do I care to point them out considering I do not agree with them under the theme of "market timing" or "market direction". I've done my own studies to come to that conclusion many years ago and I didn't need to go to NYU for that. wrbtrader
1988 just called. It wants its outdated technical indicators back. Narrowly-trading markets eventually break out, but there's no accurate way to tell when or in what direction. OP may be trying to play this with some kind of options set up, but "big move days" (Fed announcements, NFP, etc.) are already priced into options and everything else.
fortunately, facts do not care about whether I or you agree with something or not. I claimed there is not a single study that takes a quantitative approach and provides factual backup for the claim that VIX has a predictive power of forecasting SPX returns. In a subsequent post you said that I was wrong and right. Now you say you agree with my point. Confusing...
I will try not to use short hand this time. I stated in a prior message that you (GRULSTMRNN and FXtrader911) are wrong and correct. You then assumed I stated that YOU were wrong. Also, you've now stated "in a subsequent post" that I stated you were wrong and right. That actually goes back to the initial post...I was not clear about whom was wrong and whom was right when I mention both names GRULSTMRN and FXtrader911. Next, time I will slow down and just quote what I agree with and quote what I do not agree with but I truly thought via stating I do not agree with the studies...that in itself should have cleared it up. The part that's confusing to you was that I was not specific which is why you reply via assuming that I had stated the VIX can predict the SPX although I made no such statements...someone else (not me) then stated that the VIX can predict the SPX by a few moments / milliseconds. I swear, I never stated the VIX can predict the SPX. You can easily review my message post and see that I never said such nor did I quote anyone and agree to such nor did I give anyone a LIKE that had stated such. Instead, I stated that there are academic studies that states such (VIX can predict SPX) and I do not agree with their studies nor will I identify whom/their studies although I gave a hint about where the studies were located or their source...NYU. The reason why I do not care is because I have done my own studies and I trust my own research about the VIX although it did not involve the SPX price movements. I'm not sure what's confusing to you with the above statements and hopefully it clears it up for you. Did you want me to give your post a LIKE...is that what this is all about or is the issue more about what I do not agree with in your post ? Regardless, if there's a study out there that can show that the VIX can predict the SPX via a few moments / milliseconds...its something only algorithm traders or quants would know about. Then...maybe President Trump is playing the markets. Maybe we should do studies about him as a predictor of price movements in the SPX. wrbtrader
There are studies out there that used statistics in their "claim" but they been written off as bias, not enough data and inacurrate by others in academia. My point, there are studies out there although you believe they do not exist. In contrast, I claim they do exist but they have no merits with me because I have argue in the past with friends from NYU that the studies were manipulated. Some in academia mainly did the stats during high volatility market conditions when the VIX showed it can be used as a predictor of the market direction. In some of the studies that were debated...they used result phrases in the studies like "robustly outperform" or "substantially improve forecast accuracy". Regardless whether we believe the results in the studies...the studies do in fact exist. That's my entire point. On a side note, there are people actually monitoring how President Trump tweet commentary impacts the market. I wouldn't be surprise if there will soon be academic studies about the impact of his tweets on the market considering there are sources out their keeping a close watch and rumor that social media algorithms are trying to exploit the markets via his tweets. https://www.bloomberg.com/features/trump-tweets-market/ wrbtrader
As an aside, I have noticed today that the VX future has provided a decent level of hedge protection against the ES at a 1:1 ratio (as opposed to VX hedge on NQ. It was starting to look like 2 VX : 1 NQ) Testing is still very early, but it shows promise.