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More oddities with VIX, breadth

Jason Goepfert
2020-08-31

As if we needed more of these. Beginning in earnest in late July, there have been stark divergences between implied volatility, underlying market breadth, and daily changes in the major indexes like S&P 500 and Nasdaq Composite. This is far from normal behavior, and yet it continues. For the Nasdaq, Monday was the 4th session in 10 days when it gained more than 0.5% and yet there were more declining than advancing stocks on that exchange. Only December 1999 exceeds this in 34 years of history. And Monday also marked the largest-ever gain for the VIX on a day the S&P 500 lost so little. Below we can see days when the VIX gained 10% or more.

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