VIX Intraday Range, from Cagdas Tuna
Yesterday's range in VIX was one of the widest & wildest one I have seen in a very long time that happened without any major news. Wednesday close to Thursday low 18% decline followed by 46% rally to the day's high. Is there anyone who can check the occurrences in the past and how SPX traded in the following days of such a massive range explosion?
Asindu Drileba responds:
The Chairman's book, Practical Speculation, has a detailed analysis of the multivariate relationship between the VIX and the SPY. Unfortunately I forgot the page, and I am currently not close to my copy. [see pages 107-110] But it has something to do with how the fluctuations around the average of the VIX affects the SPY.
Paolo Pezzutti does some counting:
VIX +11.71% at 26.43
Highest close since 24 April
Since 2020 VIX>26 has occurred 290 times.
After 4 days the Emini S&P Futures:
+27.01 pts Mean, 63.4% Wins, 1.63 Profit Factor
Larry Williams cuts to the chase:
Vix goes up when stocks go down they are inverse of each other—no magic there are all.
Comments
Olaf Tryggvason on November 26, 2025 5:50 pm
Looking at the table on pg 109 of Practical, the buys are summarized but I wondered how the sells did. Perhaps surprisingly they were also a small winner in aggregate–
Gain in S&P points
-42
-43
144
7
46
-2
-78
204
-84
-121
-188
-14 Average
114 StDev
11 Count