MORE FUN FACTS

The Connors Research Group, mentioned below, also did some work with the VIX. They looked at the period from 1990 (the first year calculations from the CBOE for the VIX) through 2003. They looked at the VIX as it stretched beyond its 10 day SIMPLE MOVING AVERAGE. The findings were as follows:

"The futher the VIX rises above its 10 day SMA, the greater the liklihood that the market will move higher and the greater the liklihood that the market reversal to the upside will be greater than the average daily move of a normal market. In fact, the one week gain in the SPX when the VIX is 10% above its 10 day SMA is more than double the average weekly gain over the 14 year period.

During the test period, when the VIX has closed 10% or more above its 10 day SMA, the average one week performance of the SPX is in excess of .6%. The average one week performance of the SPX when the VIX closes 10% or more below its 10 day SMA is about zero. When the VIX is stretched 15% above the 10 day SMA, the average weekly returns are in excess of .8% and when stretched 15% or more below the 10 day SMA, the average weekly return is negative. Cody, are you listening?