Alpha_Ex_LLC(@Alpha_Ex_LLC):$SPX up 1.5% and $VIX up on same day... how rare? since 1996, there are 26 days when that occurs. Conditional on the SPX rising by 1.5% or more, the prob that the VIX is up on that day is below 5%. And it almost never happens when the starting point of the VIX is at 15.

Alpha_Ex_LLC

@Alpha_Ex_LLC

Alpha Exchange is a podcast series by Dean Curnutt to explore topics in financial markets, risk management and capital allocation in the alternatives industry

가입 February 2020

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Alpha_Ex_LLC@Alpha_Ex_LLC

2026.09.21 18:27

$SPX up 1.5% and $VIX up on same day... how rare? since 1996, there are 26 days when that occurs. Conditional on the SPX rising by 1.5% or more, the prob that the VIX is up on that day is below 5%. And it almost never happens when the starting point of the VIX is at 15.