Equity Returns Following Extreme VIX and WVF Movements, Part 1
Can extreme changes in implied volatility help predict future returns? And can we use a VIX surrogate as a substitute? First, let’s take a look at the WVF and its relationship to the VIX. The Williams’ VIX Fix (WVF) is…
S&P 500 Returns Following New Lows (and Highs)
Today the S&P 500 closed at a 20-day low. Is there anything useful we can do with this piece of information? Let’s take a look at the performance of SPY after it closes at a 20-day low: Not particularly…
Day of the Month Seasonality Part 1: S&P 500, NASDAQ Composite, Russell 2000
My first post is inspired by the recent day of the month seasonality posts over at MarketSci (one, two). In this post I will show how day of the month seasonality applies to the S&P 500 as well as two…
Recent Comments