{"id":39546,"date":"2017-05-28T15:47:06","date_gmt":"2017-05-28T22:47:06","guid":{"rendered":"http:\/\/drduru.com\/onetwentytwo\/?p=39546"},"modified":"2017-05-28T16:47:08","modified_gmt":"2017-05-28T23:47:08","slug":"surprising-implications-extremely-low-volatility","status":"publish","type":"post","link":"https:\/\/drduru.com\/onetwentytwo\/2017\/05\/28\/surprising-implications-extremely-low-volatility\/","title":{"rendered":"The Surprising Implications of Periods of Extremely Low Volatility – A Follow-Up"},"content":{"rendered":"

The volatility index, the VIX, has closed below 11 for 5 straight days and 22 of the last 25. These stretches of extremely low volatility (I will now shorten it to ELV for convenience) include a 14-year low for the VIX. The interruption in this streak of ELV included an abrupt wake-up call where the VIX soared 46% for a tie as the 6th largest one-day surge on record<\/a> (data available through 1990). This has been quite a period of extremes!<\/p>\n


\n
\"The<\/a>
The volatility index, the VIX, is back to single digits as a soothing calm descends once again.<\/figcaption><\/figure>
\n<\/center><\/p>\n

The sudden burst in volatility was short-lived and demonstrated once again the bullish bias of periods of ELV. The S&P 500’s maximum drawdown was 2.0% before volatility imploded all over again. When I wrote in February about the surprising implications of periods of extremely low volatility<\/a>, I noted the length of time it took from the end of a period of ELV to the time the S&P 500 (SPY) experienced at least a 5% drawdown. Based on the average 77 trading days, I pointed to a pullback in mid-May. However, the VIX fell below 11 again on March 3rd and, presumably, extended out the timeline. More importantly, the current period of ELV has reset the timeline all over again.<\/p>\n

Now that the S&P 500 has missed its destiny for a pullback in May, I am taking a different perspective on the data. In the previous post<\/a>, I pointed to the ominous meaning of the streak of three straight periods of ELV leading to 5% or worse pullbacks in the S&P 500. With ELV period number #13 ending without the pullback, I need to reconsider the larger importance of the rarity of significant pullbacks following an ELV.<\/p>\n

I updated my list of periods of ELV, now totaling 14 including the current one, and added info on the S&P 500’s vicinity to an all-time high. The list includes the start date followed by the duration of the period of ELV measured in trading days. I put an asterisk next to the periods that preceded a 5% pullback in the S&P 500 as measured from the last day of the period of ELV to the intraday low of the day that delivered the first accumulated 5% loss (I used this measure as it represents the full extent of the market risk). I follow the info with the S&P 500’s percentage distance from the last all-time high in parentheses. <\/p>\n

4\/15\/93: 1 (-1.7%)
\n7\/9\/93: 6 (-1.8%)
\n10\/15\/93: 1 (0%)
\n*12\/13\/93: 38 (-0.8%)
\n2\/3\/95: 15 (-0.7%)
\n*6\/16\/95: 1 (0%)
\n12\/4\/95: 14 (0%)
\n7\/12\/05: 13 (-20.0%)
\n11\/21\/05: 35 (-17.8%)
\n*3\/14\/06: 14 (-15.1%)
\n*10\/13\/06: 90 (-10.6%)
\n*6\/6\/14: 20 (0%)
\n1\/25\/17: 27 (0%)
\n4\/24\/17: ? (-0.9%)<\/p>\n

Of the 13 completed periods of extremely low volatility, only FIVE (38%) preceded pullbacks of at least 5% for the S&P 500 as measured from the last day of the period. Of these 5 periods that preceded pullbacks, two began at all-time highs on the S&P 500 and two started at significant distance from the all-time high. An ELV has coincided with an all-time high on the S&P 500 just 5 times. With THIS perspective, I think it is essentially a coin toss (50\/50) as to whether this current period of ELV that started on April 24th generates a drawdown of at least 5%. In other words, bears who want to short the market simply because volatility is at historically low levels are still taking a greater risk than we might otherwise assume.<\/p>\n

Not only is there risk that the next pullback may not happen until the S&P 500 is trading at much higher levels, but also, even if a profitable pullback arrives, a significant amount of time may pass first. This extended period of time before a sell-off is a testament to the tremendous buying power<\/a> (and\/or complacency) that is required to push the VIX so low. To measure the time-to-weakness, I calculated the change in the S&P 500 as measured from the last day the VIX traded below 11. From there, I counted off the number of trading days it took for the S&P 500 to lose at least 5%. Since we cannot know in advance when the period of extremely low volatility will end, I include in parentheses the total days to weakness as measured from the first day of the period. The date is the date the pullback reached at least 5%.<\/p>\n

3\/28\/94: 36 (73)
\n10\/12\/05: 53 (65)
\n6\/8\/06: 49 (62)
\n3\/5\/07: 6 (95)
\n10\/13\/14: 70 (89)<\/p>\n

Note that even when a pullback quickly followed the end of a period of extremely low volatility, that period lasted a very long time! For these 5 occurrences, the average amount of trading days until a drawdown of at least 5% was 77 trading days from the beginning of the period of ELV. If that average prevails for the current period, the 5% pullback will occur around early August – the start of the S&P 500’s most dangerous three months of the year<\/a>.<\/p>\n

For additional reference, I post below an updated distribution chart that shows the percent of time the VIX spends at various levels.<\/p>\n


\n
\"The<\/a>
The VIX spends precious little time below 11<\/figcaption><\/figure>
\nSource of data: Yahoo Finance<\/a><\/strong>
\n<\/center><\/p>\n

(You can review the data and its analysis by clicking here to download the Excel spreadsheet<\/a>.)<\/p>\n

In the last post<\/a> on ELV, I reviewed Barron’s recommendation for trading volatility: CBOE Holdings, Inc. (CBOE). CBOE offers the volatility-based trading vehicles that have gained tremendous appeal given the strong and disparate opinions on volatility. I never made the trade myself and regret missing the 9.5% gain since then (compare to the 3.7% gain on the S&P 500). <\/p>\n

\"The<\/a>
The persistent uptrend in CBOE Holdings, Inc. (CBOE) continues with only the smallest of interruptions…<\/figcaption><\/figure><\/p>\n

Source: FreeStockCharts.com<\/a><\/strong>
\n<\/center><\/p>\n

Even the bet against volatility, the ProShares Short VIX Short-Term Futures (SVXY), continues to outperform the S&P 500 by a large amount. Since my last post in mid-February, SVXY has gained 18.6%. Ironically, the large dip from the Trump Turmoil took SVXY almost back to that mid-February point. There was also an even better buying opportunity in April. <\/p>\n


\n
\"Buying<\/a>
Buying the dips in the ProShares Short VIX Short-Term Futures (SVXY) continues to deliver market-beating returns.<\/figcaption><\/figure>
\nSource: FreeStockCharts.com<\/a><\/strong>
\n<\/center><\/p>\n

I think it is clear plays on volatility will be a centerpiece of market action and trades for the foreseeable future. Through it all traders should remember that extremely low volatility is just as likely a very bullish sign as it is a bearish sign…and bearish outcomes may come with significant delays and less immediate carnage than one might suspect.<\/p>\n

For a good education on how to use volatility in trading options see this segment from the CME Group: “Volatility Jam Session, Aligning Your Options Strategies with Volatility<\/a>.”<\/p>\n

Be careful out there!<\/p>\n

Full disclosure: long UVXY call options<\/p>\n","protected":false},"excerpt":{"rendered":"

The volatility index, the VIX, has closed below 11 for 5 straight days and 22 of the last 25. These stretches of extremely low volatility (I will now shorten it to ELV for convenience) include a 14-year low for the VIX. 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