Nov

21

Yesterday's range in VIX was one of the widest & wildest one I have seen in a very long time that happened without any major news. Wednesday close to Thursday low 18% decline followed by 46% rally to the day's high. Is there anyone who can check the occurrences in the past and how SPX traded in the following days of such a massive range explosion?

Asindu Drileba responds:

The Chairman's book, Practical Speculation, has a detailed analysis of the multivariate relationship between the VIX and the SPY. Unfortunately I forgot the page, and I am currently not close to my copy. [see pages 107-110] But it has something to do with how the fluctuations around the average of the VIX affects the SPY.

Paolo Pezzutti does some counting:

#VIX +11.71% at 26.43
Highest close since 24 April
Since 2020 VIX>26 has occurred 290 times.
After 4 days the Emini S&P Futures:
+27.01 pts Mean, 63.4% Wins, 1.63 Profit Factor

Larry Williams cuts to the chase:

Vix goes up when stocks go down they are inverse of each other—no magic there are all.


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  1. Olaf Tryggvason on November 26, 2025 5:50 pm

    Looking at the table on pg 109 of Practical, the buys are summarized but I wondered how the sells did. Perhaps surprisingly they were also a small winner in aggregate–
    Gain in S&P points
    -42
    -43
    144
    7
    46
    -2
    -78
    204
    -84
    -121
    -188
    -14 Average
    114 StDev
    11 Count

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