Pre-Election Fear Drives CBOE Volatility Index (VIX) Toward 8 Wins In a Row

The CBOE Volatility Index (VIX) would match its daily win streak record with a positive finish

Karee Venema
Nov 3, 2016 at 2:06 PM
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Stocks have been getting smacked recently, as anxiety grows ahead of next Tuesday's U.S. presidential election. In fact, with the Dow turning lower at midday, the large-cap index is on track to notch its sixth straight day of losses. Additionally, the S&P 500 Index (SPX) and Nasdaq Composite (COMP) are on pace to extend their daily losing streaks to eight -- which would mark the longest such streak for the S&P since 2008. As the pre-election uncertainty swells, so has the CBOE Volatility Index (VIX), with the market's "fear gauge" taking aim at a notable run of its own.

Specifically, VIX was last seen up 9.7% at 21.20. A win today would make it eight in a row for the fear gauge -- matching the record daily winning streaks seen in April 2012 and December 2013. This streak has seen the biggest gains of the three, though, with VIX up 62.8% since its Oct. 24 close at 13.02, versus a gain of 31.8% in 2012 and 23% in 2013. If history is any guide, VIX could be on track to leave this winning streak at eight -- and potentially stage a notable decline through mid-month. Although the sample size is small, the VIX averaged a loss of 5.2% in the session following its previous runs, which widens to an 8.7% decline going out two weeks.

VIX returns after win streak

Meanwhile, the S&P 500 Index could be on track to snap its losing streak, based on VIX's string of wins. Again looking at the small sample size of VIX's two prior eight-day winning streaks, the SPX has been positive both times in the subsequent session, averaging a gain of 0.9%. The broad-market benchmark's performances are mixed in the one-week and one-month time frames, while the two-week return averages a gain of 1.2%.

spx returns after vix win streak

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