On Thursday the world appeared to have dodged a bullet, but much like counting your chickens before the hatch, the market reacted a little too quickly and early to the assumed outcome of the EU referendum in Britain. The result was Friday which does not need to be rehashed here.

The week over week changes for VIX and the standard monthly VIX futures appear below. Things we look more dramatic if I’d use the Thursday to Friday changes to construct the chart.

VIX Curve Table

Periodically I’ll throw how the near dated futures are doing relative to spot VIX. This is as good a time as any to look at the generic week over week short term VIX futures and spot VIX changes. I’ve started to learn that a flat shape for the short term curve is close to normal. This is a good description of the 6/17 pricing below. We rarely see a defined shape, but the Friday closing prices are in a definite backwardation when comparing the next three weekly expirations to each other and spot VIX.

VIX ST Curve Table

We got list making moves from VIX last week. What I mean is we got a move that ranked highly relative to other VIX one day price changes. However, one of the moves are not exactly what people would expect.

First, the not so surprising historically significant move was Friday with VIX rising 49.33% which is the 5th biggest rise for VIX on record.   The top ten positive price changes from VIX appear in the table below.

VIX Rankings

Now on the what many people missed. Thursday VIX was down 18.52% which is the 15th biggest drop on record. The table below shows the 15 biggest drops on record for VIX including Thursday’s price action.

VIX Drop Rankings

OK, great we had some big moves. Everyone is looking for signals as to what to expect now. The trading week is on the horizon and we are all putting in overtime this weekend to prepare for what is to come. With that line of thinking I took a look at what the S&P 500 did after big moves in either direction for VIX.

First, back to the biggest rally days. Arbitrarily I looked at 5, 10, 20, and 30 day price changes for the S&P 500 after each of the big rallies in VIX. The history is sort of a mixed bag. More often than not, 30 days down the road the stock market has moved up, but there a couple of nasty drawdowns included on the table below.

SP Rankings

Now for the S&P 500 post a big drop in VIX. For the dramatic VIX drops, or the top 10 on the list below, there are a lot of red numbers. You get below the first ten and the results are a bit more positive. But again the results are a mixed bag.

SP After Drop Rankings