Wow, what a tough week. But how unusual has this move been? I had a couple of readers send in some ideas to test. These are always fun tests to do when the market goes crazy but usually they don’t provide enough data points to act upon.
All tests are done back to 2001.
SPX & VIX
When was the last time the SPX had RSI(2) < 2 and two day return < -5% and the VIX had RSI > 99. This has only happened on the following dates.
Not a common occurence.
The VIX has exploded over the last week. Here are couple of interesting tidbits.
These are the highest 5 day returns of the VIX since 2001.
New record set easily.
What about 3+ days up 10% or more in the VIX?
Only the second time that has happened since 2001.
Dow Jones Index
The DJ30 has had two 2% or more daily drops. When was the last time this happened?
It has been a while since that has happened.
What to do?
There is not enough occurrences of these events to make any predictions. Do I know what is going to happen? No. The market could continue to crater. Or could have a huge bounce. Or could go sideways. As unique as this week has been, it is nothing that would make me override my strategies.
It should be interesting to see which of my strategies market timing rules kick in. These are times when it is hardest to trade. But this is also the most important time for me to follow my strategies and place the orders that need to be done.
These kind of tests are fun to do but at the end of the day it is like the donut I had this morning. Good and fun while doing it but afterwards you wonder why you did it.
Good Quant Trading,