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SPYS&P 500S&P 500 The S&P 500 fell 0.4% Tuesday, but the VIX also fell 2.4%, extending Monday’s 22% drop.
“Spot down, vol down” at that size is rare: just 4% of comparable S&P 500 down days since 1990, and the first since March 2025.
▪ It usually comes as fear drains after a spike: 69 of the 100 cases came with the VIX already at 19+.
▪ Seven came within three sessions of a 30%+ VIX jump, like this one, including China’s devaluation (2015), Brexit (2016) and Volmageddon (2018).
▪ The S&P 500 was higher a month later all seven times (avg. +4.2%) and three months later in six of seven (avg. +4.4%), vs. +0.8% and +2.4% for all days.
▪ The exception was 1990, ahead of Iraq’s invasion of Kuwait.
Note: The VVIX also fell, but adding that to the analysis doesn't change things.
Caveat: Small sample size.
View original →NeutralUVXYProShares Ultra VIX Short TermProShares Ultra VIX Short TermSPYS&P 500S&P 500 An Unprecedented Whipsaw in Investor 'Fear'
The VIX fell 22% Monday to 19.93, its biggest drop since April 2025. That came after Thursday’s 70% jump, which followed a 20% drop Wednesday.
Since 1990, that’s the only time the VIX has fallen 20%+ within three sessions on both sides of a 30%+ jump.
You have to loosen it to 15% drops to find another case: Brexit.
▪ June 23, 2016 (vote day): VIX −18.5% as markets bet on Remain.
▪ June 24 (Leave wins): VIX +49%, S&P 500 −3.6%, pound −8% to its lowest since 1985.
▪ June 28: VIX −21%.
▪ What happened next: S&P 500 at a record 11 sessions after the vote, up 6.6% a month later. VIX at a two-year low by August.
One key difference: in 2016, the 10-year hit a record low and the Fed pushed off rate hikes.
cc: @OddStats @Bluekurtic
View original →NeutralUVXYProShares Ultra VIX Short TermProShares Ultra VIX Short Term
QQQNasdaqNasdaqSPYS&P 500S&P 500 I noted last night that the VIX had its biggest one-day percentage drop since April 2025. Traders were ready for it.
Goldman’s Brian Garrett (via @dailychartbook) notes that instead of chasing S&P 500 or Nasdaq-100 calls on Friday, they piled into VIX puts, sending the VIX put/call volume ratio to about 1.5, the highest in at least two years.
Post upcoming on the unprecedented volatility in the VIX.
View original →NeutralUVXYProShares Ultra VIX Short TermProShares Ultra VIX Short TermQQQNasdaqNasdaqSPYS&P 500S&P 500 Bloomberg has a detailed reconstruction of how Thursday’s post-midterm rout snowballed. Retail sold first, institutions piled on, then the mechanical sellers took over, and almost no one stepped in on the other side.
The end result: the Nasdaq 100 fell 6.4%, its worst day since March 2020, leaving it nearly 15% below its October 6 record. The S&P 500 lost 4.4%, its worst day since April 2025. Bloomberg puts the US market value erased at $3.7 trillion.
The sequence:
▪️ Retail moved first. Net single-stock selling ranked behind only two days, both in March 2020 (Vanda Research), and JPMorgan put it at more than three standard deviations from normal.
▪️ Hedge funds and long-only managers followed, locking in gains from a strong year (Jefferies’ Mohit Kumar) and being caught offsides after taking off risk Wednesday (Goldman).
▪️ No buyers emerged. Vanda’s Viraj Patel said these are flows “we rarely see outside periods of genuine market stress.”
▪️ Then the machines. Nomura’s Charlie McElligott estimated options dealers were adding about $7 billion of selling for every 1% drop. He estimated vol-control funds needed to sell about $61 billion, with $25 billion more still left over from Wednesday (up volatility is just as bad as down volatility for that group), and leveraged ETFs another $47 billion. Trend-following CTAs sold about $13 billion of S&P 500 and Nasdaq futures, taking their exposure near the lowest in Vanda’s data.
What makes this particularly unusual is how calm things were beforehand:
▪️ The VIX started Thursday at 16.6, below its one-year average, and closed at 28.2, up 70%. Since 1990, only two VIX spikes started from a lower level and went further: February 5, 2018 (the “Volmageddon” short-volatility blowup, when the VIX jumped 116%) and December 18, 2024 (the hawkish Fed cut, up 74%).
▪️Positioning was already defensive going in. Hedge fund shorts were near a five-year high in late October, and net leverage was at a three-year low (although beta-adjusted it was more around average levels).
▪️ The damage was narrow but deep. Memory, optical networking, data-center and AI-chip baskets fell 12% to 15%, five- to six-standard-deviation moves, while the S&P 500 excluding AI names fell 2.3%.
▪️ Goldman Sachs’ memory basket is now 51% below its June 22 peak. That’s deeper than its 44% drawdown in April 2025, which took 14 months to recover. It’s also the first of nine drawdowns since 2022 that hasn’t been bought, now 136 days in.
▪️For the bears: Bloomberg counts 48 times since 1980 that the S&P 500 fell 2% or more the day after gaining 1.5%, almost all inside bear markets or crises. Only four came this close to a record high. Two recovered within 50 sessions, and the other two were in 1987.
▪️ For the bulls: Both VIX analogs ended with new S&P 500 highs, but on very different timelines. After December 2024, the next record close came about five weeks later, on January 23, 2025. After February 2018, it took about six and a half months, until August 24, 2018, with a retest along the way.
Now with CTAs and vol-control having dramatically lowered exposure, Bloomberg says the forced sellers look mostly spent. That’s the usual setup for a bounce they say.
Friday’s bounce was a start but not a convincing one. The Nasdaq rose 1.1% and the S&P 500 0.3%, both well off their highs. Decliners outnumbered advancers in the S&P 500 by about 5 to 3. A hot jobs report (165,000 versus 65,000 expected) also kept a December rate hike in play.
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