This past week I got to attend CBOE’s Risk Management Conference in Florida and finished my week at Oklahoma State as a guest lecturer. When I travel like this I am not watching the markets as closely as I would like and as I updated charts this morning I nervously scanned the numbers used to create the chart below. I say nervously because I was afraid I had dropped the ball on catching the VIX Death Cross. It turns out I updated charts just in time.
Yesterday (3/4) was the first time the 1 year average closing price for VIX crossed over the 5 year average since November 16, 2007. We all know how 2008 went, but I checked some numbers which confirmed weakness over various time periods post the death cross. I took a look at where the S&P 500 closed 3, 6, 9, and 12 months after November 16, 2007. Those numbers appear in the table below.
Note that the S&P 500 was lower over all four of these arbitrary time frames after the 1 year average moved above the 5 year average. In the stock world I have heard when the 50 day moving average close for the S&P 500 moves below the 200 day moving average it is referred to as a ‘death cross’, time will tell if there is something to the VIX Death Cross.