thanks a lot, and I made the respective corrections at least on the most recent postings.

Best,
Frank

Thanks again for your blog, it’s very valuable and enlightening.

I have one *extremely* small nit to mention: the correct spelling of the word is “losing”, not loosing. The only reason I mention this is because you (naturally) wind up using this word in almost every post you make, so you might as well spell it right.

I think you may have mentioned that English wasn’t your primary language, but honestly, your English is better than that of many native-born English speakers I know!

Keep up the good work!

thanks a lot, and of course you’re absolutely correct (I posted an analysis concerning the VIX Weekday’S Seasonalities’ a few weeks ago). I just postend a follow-up this time utilizing VIX front month futures as well in order to evaluate if the bullish bias on the VIX over long weekends would possibly provide any tradable edge.

best,
Frank

A couple things.

The VIX holiday bias can go on at least week, knocking it down a bit before a holiday and then giving the illusion of a lift after. To me, that’s a lot of what’s going on. Not all however , some of the dip is real.

And like you say, you can’t *buy* the VIX, only the futures or ETN’s. They haven’t existed for the 19 years you look at, and I imagine if they did, the VIX future or ETN would not have dropped that frequently.

Now I’m being nitpicky, I love your site, your stats work is fantastic, just wanted to note VIX is quirky around holiday’s.

thanks, and indeed, it has (see my reply to Steffen’s comment above), but Memorial Day shows -by a wide margin- the highest probability for a higher close the following session(s) of all exchange holidays and -by a wide margin- the highest hypothetical profit factor (magnitude of the VIX’ change on the upside the then following sessions).

Best,
Frank

thanks, and you’re absolutely correct. I already published an analysis a few weeks ago regarding the Weekday Seasonality of the VIX, but the extraordinary win/loss ratio and the significant magnitude of change (hypothetical profit factor) on the open/high/low/close -not only concering the session immediately following Memorial Day but the entire next week as well- is astonishing.

Best,
Frank

thanks a lot for your kind words.

I almost always have a position in VIX futures, so being (net) long VIX futures on Friday was not especially triggered by those findings published in Satursday’s post (but nevertheless I thought it should be mentioned in my disclaimer).

The session immediately following Memorial Day shows -from a historical point of view concerning the expectancy, not the raw number of winning trades- a bullish bias with a win/loss ratio of 9:10 only (9 winning trades, 10 losing trades), but an above-average profit factor of 1.47 on the close due to the fact that -on average- downside potential and magnitude of change on the close on losing trades is below the respective upside potential and magnitude of change on winning trades. But due to the fact that we’ve already seen 4 consecutive down days for the S&P 500, the probabilities (win/loss ratio) are additionally tilt in favor of a higher close on Tuesday’s session (assumed there are no negative news over the long weekend). But historically the session after Memorial Day had been relatively calm, with only 2 sessions out of 19 exceeding +/-2% on the close concerning E-MINI futures (both positive, largest loss -1.77%).

But it easier said than done in order to capitalize even on an extraordinary edge concerning a bullish bias for the VIX on Tuesday’s session (will be subject to a follow-up, using VIX futures data as well).

Best,
Frank

Consider the data, is it your intention to remain long on the VIX the next 3-4 sessions while monitoring daily for a possible reversal? The scenario you’ve presented is very inticing and, yes, the bulls are facing many headwinds in order to proceed but so many people are expecting a bounce in the VIX here, I wonder if we would bounce on Tuesday, then grind lower the remaining 3 sessions on below average volume and sideways consolidation in the S&P.

If you wouldn’t be making the VIX trade, then would you otherwise be long BGU on 05/26 weakness and possibly holding market close on 05/28? What would that data look like?

I guess the concern is about not knowing all the intricacies of the VIX even as overwhelmingly positive as the data illustrates. And maybe that’s the whole point of your fantastic blog: Having trust in the data for creating favorable odds even while not having the expertise in the trading vehicle–yet remaining vigilant in the trade as always.

Any insight is appreciated. Thanks in advance.

Thank you,
-A.