Yesterday VQF looked at how the QQQ performs 20 trading days later (about 4 weeks). Today, let’s look at a strange situation: “Nervous Rally: a hidden warning from the options market.”
The index has reached a new all-time high. Normally, fear should be gone. But the VIX is still at 19.50 (today’s close). Its rolling one-year percentile is in the “8th decile (D8)”—D10 is the highest. This means that in the past year, there were about 180 trading days when VIX was lower than now.
“What does this mean?”
The usual pattern is: stock market up → fear down (VIX in D1/D2).
But now we see “fear during a rally.” Big investors fear missing gains, and also fear a pullback. They buy call options to chase the rally, and also buy put options to protect profits. They want both sides. This keeps option prices high, so VIX does not fall.
Quant conclusion:
Using data from the past 35 years, VQF studied the historical distribution of the D8 range. In the short term, VIX may slowly move down. But the data shows a large tail risk: be careful about the market around 37 trading days later. The median time for VIX to jump back to 30 or higher is 37 trading days. If you like data, check the table below. You can message me if you have questions.
#VIX #USStocks #OptionsTrading #QuantAnalysis #FearIndex #SPX
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