A few people convey commented that today seems odd inwards that stocks are strongly higher, only the VIX has too moved upward from yesterday's close. Normally, option-related volatility tends to drib every bit stocks rise: since 1990, the correlation betwixt one-day changes inwards the S&P 500 Index (SPY) together with VIX has been a statistically pregnant -.68.
I went to the all-purpose database together with constitute entirely xiii occasions since 1990 inwards which SPY has been upward to a greater extent than than 2% on the hateful solar daytime together with VIX has unopen higher on the day. Two days later, SPY has averaged a modify of -.32% (5 up, 8 down), compared alongside the average modify of -.23% (87 up, 79 down) for the residual of instances when SPY rose yesteryear 2% or to a greater extent than alongside a falling VIX.
That's a modest sample together with non a statistically pregnant difference, only it's for sure an indication that such short-term forcefulness does non confer a bullish payoff inwards the virtually term.
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