August 22, 2015

How Unusual Is This Market Move?

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.


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.

VIX Move

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.

Date ROC5
8/21/2015 118.47
8/8/2011 102.87
5/7/2010 85.71
8/10/2011 83.88
2/27/2007 78.81

New record set easily.

What about 3+ days up 10% or more in the VIX?

Date ROC3
8/21/2015 103.26
10/13/2014 63.07

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?

Date ROC2
8/21/2015 -5.12
11/1/2011 -4.69
10/3/2011 -4.47
9/22/2011 -5.92
1/22/2010 -4.06
11/20/2008 -10.36
11/17/2008 -6.36
11/6/2008 -9.66
10/27/2008 -5.93
10/22/2008 -8.05
10/9/2008 -9.19
10/8/2008 -7.01
10/7/2008 -8.51
8/5/2002 -5.44
8/2/2002 -4.85
7/22/2002 -7.43
3/21/2001 -4.74

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,


Click Here to Leave a Comment Below

Mark - August 22, 2015 Reply

As always, great quantitative insight. But of course, what’s done is done. So what might be more important than last week is this week – if the S&P doesn’t show signs of recovery (very soon), then a major top may have been put in. However, how many times have we seen this type of action (e.g., a nice breach of the 200dMA) kick off a rally?

Paul - August 23, 2015 Reply

Thanks for sharing these different occurrences. I will have to check them out and see how the market reacted after some of them.

I take it you don’t have one “best” model you follow,as you mention which of your “strategies” might kick-in?

    Cesar Alvarez - August 23, 2015 Reply

    Paul, I did not do any research on how the market did after these events mostly because there are too few of them. I trade multiple models because you never know which will be working.

Steven - August 23, 2015 Reply

I love this “market porn”–it’s always fun to read. The main thing to expect is some volatility-up down or sideways until everyone gets their positioning figured out. Trading strategies aren’t designed for this king of noise so the best thing to do is to wait it out while everyone who tries to make their money back this week learns the hard way.

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